Performs adaptive shrinkage of correlation and covariance matrices using a mixture model prior over the Fisher z-transformation of the correlations. A separate shrinkage intensity may be specifiedfor each cell of the correlation or the covariance table.
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Summary
Performs adaptive shrinkage of correlation and covariance matrices using a mixture model prior over the Fisher z-transformation of the correlations. A separate shrinkage intensity may be specifiedfor each cell of the correlation or the covariance table.
Last Updated
Mar 27, 2018 at 14:00
License
GPL (>= 2)
Total Downloads
7
Supported Platforms