empirical_covariance silently returns invalid results on inputs with a complex dtype

### Describe the bug

Considering complex inputs $X$, like in [radar image processing](https://ammarmian.github.io/pdf/wiley_book_2021.pdf), we want to estimate the covariance matrix.

When `assume_centered=True`, `empirical_covariance` returns the [pseudo-covariance matrix](https://en.wikipedia.org/wiki/Covariance_matrix#Complex_random_vectors) : $X^T X / n$ . See [code](https://github.com/scikit-learn/scikit-learn/blob/17b82783422b3b9767efbc341c2404e55efd8c8e/sklearn/covariance/_empirical_covariance.py#L98).

When `assume_centered=False`, `empirical_covariance` returns `np.cov(X.T, bias=1)` [here](https://github.com/scikit-learn/scikit-learn/blob/17b82783422b3b9767efbc341c2404e55efd8c8e/sklearn/covariance/_empirical_covariance.py#L100), which computes the [actual covariance matrix for complex inputs](https://en.wikipedia.org/wiki/Covariance_matrix#Complex_random_vectors), using the Hermitian dot product : $X^H X / n$ . See [code](https://github.com/numpy/numpy/blob/v1.24.0/numpy/lib/function_base.py#L2704).

This inconsistency can be easily tested using an already centered complex array $X$: 
`empirical_covariance(X, assume_centered=False)` is not equal to `empirical_covariance(X, assume_centered=True)`.

### Steps/Code to Reproduce

```
import numpy as np
from numpy.testing import assert_array_almost_equal
from sklearn.covariance import empirical_covariance


n_samples, n_features = 100, 2
rs = np.random.RandomState(2023)
X = rs.randn(n_samples, n_features) + 1.0j * rs.randn(n_samples, n_features)
X -= np.mean(X, axis=0, keepdims=True)

C1 = empirical_covariance(X, assume_centered=True)
C2 = empirical_covariance(X, assume_centered=False)
assert_array_almost_equal(C1, C2)
```

### Expected Results

No error is thrown.

### Actual Results

```
Traceback (most recent call last):
  File "dev_covariance_emc_bug.py", line 16, in <module>
    assert_array_equal(C1, C2)
  File "...\Anaconda3\envs\env_ml\lib\site-packages\numpy\testing\_private\utils.py", line 934, in assert_array_equal
    assert_array_compare(operator.__eq__, x, y, err_msg=err_msg,
  File "...\Anaconda3\envs\env_ml\lib\site-packages\numpy\testing\_private\utils.py", line 844, in assert_array_compare
    raise AssertionError(msg)

AssertionError:
Arrays are not equal

Mismatched elements: 4 / 4 (100%)
Max absolute difference: 2.19497247
Max relative difference: 2.23809636
 x: array([[0.074856+0.226382j, 0.226072+0.032869j],
       [0.226072+0.032869j, 0.116201+0.326903j]])
 y: array([[ 2.258123+0.j     , -0.03445 +0.13383j],
       [-0.03445 -0.13383j,  2.038931+0.j     ]])
```

### Versions

```shell
System:
    python: 3.8.16 (default, Jan 17 2023, 22:25:28) [MSC v.1916 64 bit (AMD64)]
executable: ...\Anaconda3\envs\env_ml\python.exe
   machine: Windows-10-10.0.17763-SP0

Python dependencies:
      sklearn: 1.2.0
          pip: 22.3.1
   setuptools: 65.6.3
        numpy: 1.23.5
        scipy: 1.9.3
       Cython: None
       pandas: None
   matplotlib: None
       joblib: 1.2.0
threadpoolctl: 3.1.0

Built with OpenMP: True

threadpoolctl info:
       user_api: openmp
   internal_api: openmp
         prefix: vcomp
       filepath: ...\Anaconda3\envs\env_ml\Lib\site-packages\sklearn\.libs\vcomp140.dll
        version: None
    num_threads: 12

       user_api: blas
   internal_api: mkl
         prefix: mkl_rt
       filepath: ...\Anaconda3\envs\env_ml\Library\bin\mkl_rt.1.dll
        version: 2021.4-Product
threading_layer: intel
    num_threads: 6
```

COMMENT:
Basically, `empirical_covariance(X)` should raise the same exception as `EmpiricalCovariance().fit(X)` when `X` as a complex dtype. PR welcome.

Labels: Bug