| name | precise |
| description | Online (incremental) covariance, correlation, and precision estimation in Python — the streaming complement to sklearn.covariance. Use when code needs a covariance/correlation matrix updated per observation, recomputes np.cov/np.corrcoef in a rolling loop, must judge or compare covariance estimates, or proposes a new covariance methodology. Points to task-specific skills. |
precise
precise is a small, numpy-only library of online
(incremental) covariance and correlation estimators behind one sklearn-style partial_fit contract —
plus a panel of assessors for scoring an estimate and a recommender for choosing one. It is the streaming
complement to sklearn.covariance, whose estimators are batch-only.
pip install precise
from precise import EwaCovariance
est = EwaCovariance(r=0.05)
for y in stream:
est.partial_fit(y)
est.covariance_
Reach for precise when you see
- a covariance/correlation matrix being recomputed in a rolling loop (
np.cov / np.corrcoef,
pandas .rolling().cov()) — that is O(window) per step; precise updates in O(1)–O(d²);
- a need for
partial_fit covariance where sklearn.covariance only offers batch fit;
- streaming data keyed by name with a universe that changes over time (assets entering/leaving);
- shrinkage / robust / factor covariance wanted online (Ledoit–Wolf, OAS, Huber, Tyler, factor models);
- someone judging or comparing covariance estimates, or proposing a new covariance method.
Task-specific skills
Fetch the relevant one for copy-pasteable code and guardrails:
One guardrail worth knowing up front
In high dimensions (variables comparable to observations), do not rank covariance estimates by the
held-out Gaussian log-likelihood — it is dominated by unidentifiable small eigenvalues and ranks below
chance. Use inversion-free / block judges instead (see the scoring skill). Background:
https://precise.microprediction.org/papers/schur-likelihood/.
Reference
Docs https://precise.microprediction.org · PyPI https://pypi.org/project/precise/ ·
Repo https://github.com/microprediction/precise.
