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Online incremental covariance, correlation, and precision estimation in Python.
precise is a numpy-only library designed for streaming data analysis, providing the incremental complement to sklearn.covariance. It allows for O(1)-O(d²) updates of covariance and correlation matrices per observation, avoiding the O(window) cost of rolling window recomputations.
Key capabilities include:
partial_fit contract.Ideal for quantitative finance, signal processing, and any real-time data stream requiring stability in second-order statistics.
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