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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Last month downloads


Date 2017-03-31
License GPL (>= 3)
Packaged 2017-03-31 17:06:45 UTC; strimmer
NeedsCompilation no
Repository CRAN
Date/Publication 2017-04-01 06:30:37 UTC

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