Added optional parameter to scale the data before shrinkage

As discussed in #3508,  I implemented an option to scale the data before shrinkage estimation.
scaling the features amounts to working with correlation matrices and not covariance matrices. I am still not convinced it's what the LW estimator is meant to do. Also if you set assume_scaled=False you change the results for all our users. Unless we document it as a bug it should not happen.