GFT: Generalized Fisher Transformation of Correlation Matrices

Forward and inverse generalized Fisher transformation (GFT) of correlation matrices, gamma = vecl(log C), which maps the positive definite correlation matrices one-to-one onto the Euclidean space of dimension n(n-1)/2, see Archakov and Hansen (2021) <doi:10.3982/ECTA16910>. The inverse is computed from a variational characterization by the GFT-FP+N algorithm: a fixed-point phase in the log domain followed by a matrix-free inexact Newton phase with preconditioned conjugate gradients. Reference implementations of the plain fixed point, Broyden's method, and full Newton are included. Uses base R only.

install.packages("GFT")

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