corpcor v1.6.9
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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.
Functions in corpcor
Name | Description | |
fast.svd | Fast Singular Value Decomposition | |
corpcor-internal | Internal corpcor Functions | |
pcor.shrink | Shrinkage Estimates of Partial Correlation and Partial Variance | |
powcor.shrink | Fast Computation of the Power of the Shrinkage Correlation Matrix | |
invcov.shrink | Fast Computation of the Inverse of the Covariance and Correlation Matrix | |
pseudoinverse | Pseudoinverse of a Matrix | |
cov.shrink | Shrinkage Estimates of Covariance and Correlation | |
cor2pcor | Compute Partial Correlation from Correlation Matrix -- and Vice Versa | |
corpcor-package | The corpcor Package | |
mpower | Compute the Power of a Real Symmetric Matrix | |
wt.scale | Weighted Expectations and Variances | |
shrink.intensity | Estimation of Shrinkage Intensities | |
rank.condition | Positive Definiteness of a Matrix, Rank and Condition Number | |
rebuild.cov | Rebuild and Decompose the (Inverse) Covariance Matrix | |
smtools | Some Tools for Handling Symmetric Matrices | |
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Details
Date | 2017-03-31 |
License | GPL (>= 3) |
URL | http://strimmerlab.org/software/corpcor/ |
Packaged | 2017-03-31 17:06:45 UTC; strimmer |
NeedsCompilation | no |
Repository | CRAN |
Date/Publication | 2017-04-01 06:30:37 UTC |
depends | R (>= 3.0.2) |
imports | stats |
Contributors | Rainer Opgen-Rhein, Korbinian Strimmer, Verena Zuber, A. Duarte Silva, Miika Ahdesmaki, Juliane Schafer |
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