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 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)
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 GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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