micropredictionmicropredictionCommunityยท6 Agent Skills Included

precise

Streaming covariance and correlation estimation with estimator scoring

Estimates covariance, correlation, and precision matrices incrementally as data streams in, one observation at a time. Eliminates slow rolling-window recomputation of np.cov and batch-only sklearn estimators that cannot update online. Scores and compares competing estimates, recommends the right estimator for your data, and handles named series that enter and leave over time.
npx skills add microprediction/precise --all -g -y

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Frequently Asked Questions

FAQPage Schema
How to install precise?โ–ผ

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?โ–ผ

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?โ–ผ

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?โ–ผ

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?โ–ผ

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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