positive.svd

nsmall.svd

psmall.svd

pvt.powscor

pvt.cppowscor

pvt.svar

pvt.check.w

print.shrinkage

internal

corpcor-internal

This package 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 Sch\"afer and Strimmer (2005) and Opgen-Rhein and
        Strimmer (2007).  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.

corpcor-internal: Internal corpcor Functions

Description

Arguments