kkdey/CorShrink: Adaptive Shrinkage of Correlation and Covariance Matrices

Performs adaptive shrinkage of correlation and covariance matrices using a mixture model prior over the Fisher z-transformation of the correlations. It allows separate shrinkage intensity for each cell of the correlation matrix. Can also we flexibly extended to 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) <doi:https://doi.org/10.1093/biostatistics/kxw041>.

Getting started

Package details

Authorc(person("Kushal","Dey",role=c("aut","cre"), email="kkdey@uchicago.edu"), person("Matthew","Stephens",role="aut"), person("Peter","Carbonetto",role="ctb"))
MaintainerKushal Dey <kkdey@uchicago.edu>
LicenseGPL (>= 2)
URL https://github.com/kkdey/CorShrink
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
kkdey/CorShrink documentation built on May 20, 2019, 10:28 a.m.