Finanzas

score-covariance-estimate

Scores and ranks covariance estimates using precise assessor methods, with guidance for out-of-sample evaluation, high-dimensional settings, portfolio relevance, and simulation-based truth comparisons.

★ 335 GitHub Stars
86 Puntuación de calidad
1 Archivos

Sobre esta Skill

Score and compare covariance estimates with precise's assessor panel. Use when you need to judge an estimate out-of-sample or rank competing estimators — and especially in high dimensions, where the plain held-out likelihood is misleading.

Casos de uso

  • Compare competing covariance estimators
  • Evaluate estimates on held-out data
  • Rank estimators in high dimensions
  • Assess portfolio minimum-variance performance
  • Compare estimates against known covariance in simulations

Funciones

  • Iterates over precise assessor implementations
  • Supports held-out data and known-truth scoring
  • Provides regime-specific assessor recommendations
  • Uses a consistent higher-is-better score convention
  • Documents high-dimensional likelihood limitations

Requisitos

  • Python
  • precise

Agents compatibles

Claude Code

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