corpcor (1.6.9)
Efficient Estimation of Covariance and (Partial) Correlation.
http://strimmerlab.org/software/corpcor/
http://cran.r-project.org/web/packages/corpcor
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) 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.
Maintainer:
Korbinian Strimmer
Author(s): Juliane Schafer, Rainer Opgen-Rhein, Verena Zuber, Miika Ahdesmaki, A. Pedro Duarte Silva, and Korbinian Strimmer.
License: GPL (>= 3)
Uses: Does not use any package
Reverse depends: arf3DS4, BinNonNor, BinNor, BLCOP, cape, care, COMBAT, CompModSA, corHMM, driftsel, EDISON, FPCA2D, FRB, FRCC, GeneNet, GLSME, GOSim, Hotelling, HPbayes, idm, Kernelheaping, leapp, list, longitudinal, markerSearchPower, MCMCglmm, MeDiChI, metavcov, mgpd, miRtest, MultiOrd, mvMORPH, mvSLOUCH, netgsa, OrdNor, OUwie, pacose, pcalg, penalizedSVM, PoisBinNonNor, PoisBinOrd, PoisBinOrdNonNor, PoisBinOrdNor, PoisNonNor, PoisNor, QRFCCA, qtlhot, relaimpo, RghcnV3, sda, sideChannelAttack, SMFI5, splitFeas, st, whitening
Reverse suggests: agricolae, BLCOP, CorShrink, FAiR, fPortfolio, NMF, picante, PortfolioAnalytics, subselect
Released over 2 years ago.
16 previous versions
- corpcor_1.6.8. Released about 4 years ago.
- corpcor_1.6.7. Released almost 5 years ago.
- corpcor_1.6.6. Released over 6 years ago.
- corpcor_1.6.5. Released over 6 years ago.
- corpcor_1.6.4. Released about 7 years ago.
- corpcor_1.6.3. Released over 7 years ago.
- corpcor_1.6.2. Released over 7 years ago.
- corpcor_1.6.1. Released over 7 years ago.
- corpcor_1.6.0. Released about 8 years ago.
- corpcor_1.5.7. Released about 9 years ago.
- corpcor_1.5.6. Released over 9 years ago.
- corpcor_1.5.5. Released over 9 years ago.
- corpcor_1.5.4. Released almost 10 years ago.
- corpcor_1.5.3. Released almost 10 years ago.
- corpcor_1.5.2. Released over 10 years ago.
- corpcor_1.4.7. Released almost 12 years ago.
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