[MNT] Isolate scikit-learn dependency with checks
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fkiraly
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scikit-learn soft dependencyscikit-learn dependency with checks
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scikit-learnis almost a soft dependency - this PR fully isolatesscikit-learnwith dependency checks.It is not removed from the core dependency set, even though the dependency is entirely localized in the
CovarianceShrinkageobject, since it seems to be called frequently from the rest of the code base.