Daten

keyed-dynamic-universe

Wraps positional online covariance estimators to process keyed observations whose named series can remain fixed or change dynamically over time.

★ 335 GitHub Stars
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1 Dateien

About this Skill

Maintain an online covariance over named series whose set changes over time (e.g. assets entering and leaving). Use when observations arrive as dicts keyed by name rather than fixed-length vectors. Wraps precise's keyed / FixedUniverse / DynamicUniverse adapters.

Anwendungsfälle

  • Track covariance for changing financial assets
  • Process streaming observations keyed by series name
  • Maintain covariance over a fixed named universe
  • Convert keyed covariance output to a pandas DataFrame
  • Compare keyed covariance estimates

Funktionen

  • Keyed adapter for positional estimators
  • Fixed and dynamic universe modes
  • Missing-key imputation in fixed mode
  • Staleness and longevity eviction in dynamic mode
  • Nearest-PSD projection of assembled covariance matrices

Anforderungen

  • Python
  • precise

Unterstützte Agents

Claude Code

Skill files

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