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corpcor (version 1.4.7)

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 variances, 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.

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Install

install.packages('corpcor')

Monthly Downloads

31,355

Version

1.4.7

License

GPL (>= 3)

Last Published

October 20th, 2007

Functions in corpcor (1.4.7)