precise
Streaming covariance and correlation estimation with estimator scoring
All Skills in This Repository (6)
Pure Emerald Level Indicatorsprecise
Estimate covariance, correlation, and precision matrices from streaming data.
choose-covariance-estimator
Recommend covariance estimators for time-series data based on in-sample characteristics.
keyed-dynamic-universe
Calculate real-time covariance for named time-varying series in Python.
estimate-online-covariance
Estimate covariance matrices incrementally from streaming observations.
score-covariance-estimate
Compare covariance estimation methods in high-dimensional datasets using Python.
assess-covariance-method
Assess covariance estimators and scoring rules for accuracy and reliability.
Frequently Asked Questions
FAQPage SchemaHow to install precise?โผ
Run `npx skills add microprediction/precise --all -g -y` in your terminal to install all skills in this suite globally.
How to update a covariance matrix on streaming data?โผ
Use any precise estimator with partial_fit, for example EwaCovariance, to update the matrix in constant time per observation instead of recomputing np.cov in a rolling loop.
How to choose the right covariance estimator?โผ
Call precise.suggest(X) to get a ranked shortlist of estimator classes based on measurable features of your data like dimension, conditioning, and tail behavior.
Why not rank estimates by held-out likelihood?โผ
In high dimensions the Gaussian log-likelihood is dominated by unidentifiable small eigenvalues and ranks estimators below chance, so use block or Schur likelihood judges instead.
Can precise handle assets that enter and leave?โผ
Yes. The keyed adapter wraps any estimator to consume dict observations keyed by name and maintains a live covariance over a changing universe.
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