corpcor: Efficient Estimation of Covariance and (Partial) Correlation

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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 Sch\"afer 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.

Author
Juliane Sch\"afer, Rainer Opgen-Rhein, Verena Zuber, Miika Ahdesm\"aki, A. Pedro Duarte Silva, and Korbinian Strimmer.
Date of publication
2015-07-08 13:21:51
Maintainer
Korbinian Strimmer <strimmerlab@gmail.com>
License
GPL (>= 3)
Version
1.6.8
URLs

View on CRAN

Man pages

cor2pcor
Compute Partial Correlation from Correlation Matrix - and...
corpcor-internal
Internal corpcor Functions
corpcor.package
The corpcor Package
cov.shrink
Shrinkage Estimates of Covariance and Correlation
fast.svd
Fast Singular Value Decomposition
invcov.shrink
Fast Computation of the Inverse of the Covariance and...
mpower
Compute the Power of a Real Symmetric Matrix
pcor.shrink
Shrinkage Estimates of Partial Correlation and Partial...
powcor.shrink
Fast Computation of the Power of the Shrinkage Correlation...
pseudoinverse
Pseudoinverse of a Matrix
rank.condition
Positive Definiteness of a Matrix, Rank and Condition Number
rebuild.cov
Rebuild and Decompose the (Inverse) Covariance Matrix
shrink.intensity
Estimation of Shrinkage Intensities
smtools
Some Tools for Handling Symmetric Matrices
wt.scale
Weighted Expectations and Variances

Files in this package

corpcor
corpcor/NAMESPACE
corpcor/NEWS
corpcor/R
corpcor/R/mpower.R
corpcor/R/rebuild.cov.R
corpcor/R/rank.condition.R
corpcor/R/wt.scale.R
corpcor/R/smtools.R
corpcor/R/pvt.svar.R
corpcor/R/pvt.cppowscor.R
corpcor/R/partial.R
corpcor/R/fast.svd.R
corpcor/R/shrink.intensity.R
corpcor/R/pseudoinverse.R
corpcor/R/shrink.misc.R
corpcor/R/pvt.powscor.R
corpcor/R/shrink.estimates.R
corpcor/MD5
corpcor/DESCRIPTION
corpcor/man
corpcor/man/shrink.intensity.Rd
corpcor/man/cor2pcor.Rd
corpcor/man/cov.shrink.Rd
corpcor/man/wt.scale.Rd
corpcor/man/rank.condition.Rd
corpcor/man/corpcor.package.Rd
corpcor/man/pseudoinverse.Rd
corpcor/man/powcor.shrink.Rd
corpcor/man/fast.svd.Rd
corpcor/man/invcov.shrink.Rd
corpcor/man/smtools.Rd
corpcor/man/corpcor-internal.Rd
corpcor/man/pcor.shrink.Rd
corpcor/man/mpower.Rd
corpcor/man/rebuild.cov.Rd