Package: corpcor 1.6.10

Korbinian Strimmer

corpcor: Efficient Estimation of Covariance and (Partial) Correlation

Implements a James-Stein-type shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations. The details of the method are explained in Schafer and Strimmer (2005) <doi:10.2202/1544-6115.1175> and Opgen-Rhein and Strimmer (2007) <doi:10.2202/1544-6115.1252>. The approach is both computationally as well as statistically very efficient, it is applicable to "small n, large p" data, and always returns a positive definite and well-conditioned covariance matrix. In addition to inferring the covariance matrix the package also provides shrinkage estimators for partial correlations and partial variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well as any arbitrary power of the shrinkage correlation matrix. Furthermore, functions are available for fast singular value decomposition, for computing the pseudoinverse, and for checking the rank and positive definiteness of a matrix.

Authors:Juliane Schafer, Rainer Opgen-Rhein, Verena Zuber, Miika Ahdesmaki, A. Pedro Duarte Silva, and Korbinian Strimmer.

corpcor_1.6.10.tar.gz
corpcor_1.6.10.tar.gz(r-4.5-noble)corpcor_1.6.10.tar.gz(r-4.4-noble)
corpcor_1.6.10.tgz(r-4.4-emscripten)corpcor_1.6.10.tgz(r-4.3-emscripten)
corpcor.pdf |corpcor.html
corpcor/json (API)
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# Install 'corpcor' in R:
install.packages('corpcor', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/strimmerlab/software/issues

29 exports 8.34 score 0 dependencies 282 dependents 24 mentions 908 scripts 28.7k downloads

Last updated 3 years agofrom:a7ca037ced. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 14 2024
R-4.5-linuxOKSep 14 2024

Exports:cor.shrinkcor2pcorcov.shrinkcrossprod.powcor.shrinkdecompose.covdecompose.invcovestimate.lambdaestimate.lambda.varfast.svdinvcor.shrinkinvcov.shrinkis.positive.definitemake.positive.definitempowerpcor.shrinkpcor2corpowcor.shrinkpseudoinversepvar.shrinkrank.conditionrebuild.covrebuild.invcovsm.indexsm2vecvar.shrinkvec2smwt.momentswt.scalewt.var

Dependencies: