LedoitWolf.fit() crashes Jupyter Notebook

### Describe the bug

Hi, when i used LedoitWolf.fit(), my Jupyter Notebook crashes immediately. I am using the toy example given in the source code of 
LedoitWolf class


### Steps/Code to Reproduce

```python
import numpy as np
from sklearn.covariance import LedoitWolf
real_cov = np.array([[.4, .2],[.2, .8]])
np.random.seed(0)
X = np.random.multivariate_normal(mean=[0, 0],cov=real_cov,size=50)
cov = LedoitWolf().fit(X)
```

### Expected Results

It is exptected to fit the estimator.

### Actual Results

However kernel crashes. sklearn.show_versions() also produce a WinError.

### Versions

```shell
Sklearn version is 1.3.2
```

COMMENT:
When i run `LedoitWolf().fit(X)` I got:

```pytb
Kernel Restarting
The kernel for ABIDE/ABIDEDownlod.ipynb appears to have died. It will restart automatically. 
```

When I run 
```python
import sklearn
sklearn.show_versions()
```

I got

```pytb
---------------------------------------------------------------------------
OSError                                   Traceback (most recent call last)
Cell In[1], line 2
      1 import sklearn
----> 2 sklearn.show_versions()

File C:\ProgramData\anaconda3\lib\site-packages\sklearn\utils\_show_versions.py:98, in show_versions()
     91 print(
     92     "\n{k}: {stat}".format(
     93         k="Built with OpenMP", stat=_openmp_parallelism_enabled()
     94     )
     95 )
     97 # show threadpoolctl results
---> 98 threadpool_results = threadpool_info()
     99 if threadpool_results:
    100     print()

File C:\ProgramData\anaconda3\lib\site-packages\sklearn\utils\fixes.py:83, in threadpool_info()
     81 controller = _get_threadpool_controller()
     82 if controller is not None:
---> 83     return controller.info()
     84 else:
     85     return threadpoolctl.threadpool_info()

File ~\AppData\Roaming\Python\Python310\site-packages\threadpoolctl.py:677, in ThreadpoolController.info(self)
    675 def info(self):
    676     """Return lib_controllers info as a list of dicts"""
--> 677     return [lib_controller.info() for lib_controller in self.lib_controllers]

File ~\AppData\Roaming\Python\Python310\site-packages\threadpoolctl.py:677, in <listcomp>(.0)
    675 def info(self):
    676     """Return lib_controllers info as a list of dicts"""
--> 677     return [lib_controller.info() for lib_controller in self.lib_controllers]

File ~\AppData\Roaming\Python\Python310\site-packages\threadpoolctl.py:124, in LibController.info(self)
    115 @final
    116 def info(self):
    117     """Return relevant info wrapped in a dict
    118 
    119     This is not meant to be overriden by subclasses.
    120     """
    121     exposed_attrs = {
    122         "user_api": self.user_api,
    123         "internal_api": self.internal_api,
--> 124         "num_threads": self.num_threads,
    125         **vars(self),
    126     }
    127     exposed_attrs.pop("dynlib")
    128     return exposed_attrs

File ~\AppData\Roaming\Python\Python310\site-packages\threadpoolctl.py:139, in LibController.num_threads(self)
    133 @property
    134 def num_threads(self):
    135     """Exposes the current thread limit as a dynamic property
    136 
    137     This is not meant to be used or overriden by subclasses.
    138     """
--> 139     return self.get_num_threads()

File ~\AppData\Roaming\Python\Python310\site-packages\threadpoolctl.py:302, in MKLController.get_num_threads(self)
    300 def get_num_threads(self):
    301     get_func = getattr(self.dynlib, "MKL_Get_Max_Threads", lambda: None)
--> 302     return get_func()

OSError: [WinError -1066598274] Windows Error 0xc06d007e
```

Labels: Bug, Needs Info