データ

estimate-online-covariance

Provides sklearn-style estimators for incrementally updating covariance, correlation, precision, and location matrices from streaming observations using constant work per observation.

★ 335 GitHub Stars
92 品質スコア
1 ファイル

このSkillについて

Estimate a covariance / correlation / precision matrix incrementally with precise. Use when data arrives as a stream and you want the matrix updated per observation, or when you want an online (partial_fit) drop-in for sklearn.covariance, which is batch-only.

利用例

  • Updating covariance estimates from streaming observations
  • Using an online partial_fit alternative to sklearn.covariance
  • Handling recency-weighted or changing-regime data
  • Estimating matrices for high-dimensional or ill-conditioned data
  • Checkpointing estimator state during a stream

特徴

  • Per-observation partial_fit updates
  • Batch fit support for two-dimensional observation arrays
  • Multiple covariance estimator classes for shrinkage, robustness, and regime changes
  • Symmetric positive semidefinite covariance output
  • JSON-serializable state checkpointing

必要要件

  • Python
  • precise

対応Agent

Claude Code

Skillファイル

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