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README
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: # y is one observation (1-D)
est.partial_fit(y)
est.covariance_ # symmetric PSD; also .correlation_ / .precision_ / .location_
Reach for precise when you see
This is the opening of the README. Read the full README on GitHub.