corpcor: Efficient Estimation of Covariance and (Partial) Correlation
Version 1.6.9

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.

AuthorJuliane Schafer, Rainer Opgen-Rhein, Verena Zuber, Miika Ahdesmaki, A. Pedro Duarte Silva, and Korbinian Strimmer.
Date of publication2017-04-01 06:30:37 UTC
MaintainerKorbinian Strimmer <strimmerlab@gmail.com>
LicenseGPL (>= 3)
Version1.6.9
URL http://strimmerlab.org/software/corpcor/
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("corpcor")

Popular man pages

cor2pcor: Compute Partial Correlation from Correlation Matrix - and...
fast.svd: Fast Singular Value Decomposition
invcov.shrink: Fast Computation of the Inverse of the Covariance and...
pcor.shrink: Shrinkage Estimates of Partial Correlation and Partial...
pseudoinverse: Pseudoinverse of a Matrix
rank.condition: Positive Definiteness of a Matrix, Rank and Condition Number
shrink.intensity: Estimation of Shrinkage Intensities
See all...

All man pages Function index File listing

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

Functions

cor.shrink Man page Source code
cor2pcor Man page Source code
corpcor-package Man page
cov.shrink Man page Source code
crossprod.powcor.shrink Man page Source code
decompose.cov Man page Source code
decompose.invcov Man page Source code
estimate.lambda Man page Source code
estimate.lambda.var Man page Source code
fast.svd Man page Source code
invcor.shrink Man page Source code
invcov.shrink Man page Source code
is.positive.definite Man page Source code
make.positive.definite Man page Source code
mpower Man page Source code
nsmall.svd Man page Source code
pcor.shrink Man page Source code
pcor2cor Man page Source code
positive.svd Man page Source code
powcor.shrink Man page Source code
print.shrinkage Man page Source code
pseudoinverse Man page Source code
psmall.svd Man page Source code
pvar.shrink Man page Source code
pvt.check.w Man page Source code
pvt.cppowscor Man page Source code
pvt.powscor Man page Source code
pvt.svar Man page Source code
rank.condition Man page Source code
rebuild.cov Man page Source code
rebuild.invcov Man page Source code
sm.index Man page Source code
sm2vec Man page Source code
var.shrink Man page Source code
vec2sm Man page Source code
wt.moments Man page Source code
wt.scale Man page Source code
wt.var Man page Source code

Files

NAMESPACE
NEWS
R
R/mpower.R
R/rebuild.cov.R
R/rank.condition.R
R/wt.scale.R
R/smtools.R
R/pvt.svar.R
R/pvt.cppowscor.R
R/partial.R
R/fast.svd.R
R/shrink.intensity.R
R/pseudoinverse.R
R/shrink.misc.R
R/pvt.powscor.R
R/shrink.estimates.R
MD5
DESCRIPTION
man
man/shrink.intensity.Rd
man/cor2pcor.Rd
man/cov.shrink.Rd
man/wt.scale.Rd
man/rank.condition.Rd
man/corpcor.package.Rd
man/pseudoinverse.Rd
man/powcor.shrink.Rd
man/fast.svd.Rd
man/invcov.shrink.Rd
man/smtools.Rd
man/corpcor-internal.Rd
man/pcor.shrink.Rd
man/mpower.Rd
man/rebuild.cov.Rd
corpcor documentation built on May 20, 2017, 4:03 a.m.