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)
|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)|
|Package repository||View on GitHub|
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