Efficient Estimation of Covariance and (Partial) Correlation
Description
This package implements an analytic shrinkage approach
for inferring the covariance matrix. The estimator is statistically
highly accurate and efficient, applicable to "small n, large p" data,
and always returns a positive definite and well-conditioned matrix.
Nevertheless, this method requires only little a priori modeling and is
computationally cheap. In addition to covariance estimation the
package contains similar functions for inferring variances, correlations,
partial correlations, partial covariances, and regression coefficients.
Furthermore, it provides functions for fast SVD computation, for computing
the pseudoinverse, for checking the rank and positive definiteness of a
matrix, and for the computationally fast inversion of the covariance
and correlation matrix.