Performs adaptive shrinkage of correlation and covariance matrices using a mixture model prior over the Fisher ztransformation of the correlations. It allows separate shrinkage intensity for each cell of the correlation matrix. Can also we flexibly extended to shrinking correlation like quantities such as cosine similarities in word2vec models and to partial correlations in conditional graph estimation. For details on methods, refer to Stephens (2017) "False discovery rates: a new deal", <DOI:10.1093/biostatistics/kxw041>.
Package details 


Author  c(person("Kushal","Dey",role=c("aut","cre"), email="[email protected]"), person("Matthew","Stephens",role="aut"), person("Peter","Carbonetto",role="ctb")) 
Maintainer  Kushal Dey <[email protected]> 
License  GPL (>= 2) 
Version  0.16 
URL  https://github.com/kkdey/CorShrink 
Package repository  View on CRAN 
Installation 
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