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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) <DOI:10.2202/1544-6115.1175> and Opgen-Rhein and Strimmer (2007) <DOI:10.2202/1544-6115.1252>. 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.

copied from cf-staging / r-corpcor
Type Size Name Uploaded Downloads Labels
conda 128.7 kB | noarch/r-corpcor-1.6.10-r43hc72bb7e_3.conda  1 year and 2 months ago 6369 main
conda 131.3 kB | noarch/r-corpcor-1.6.10-r44hc72bb7e_3.conda  1 year and 2 months ago 3593 main
conda 128.8 kB | noarch/r-corpcor-1.6.10-r43hc72bb7e_2.conda  2 years and 2 months ago 6089 main
conda 128.8 kB | noarch/r-corpcor-1.6.10-r42hc72bb7e_2.conda  2 years and 2 months ago 2655 main
conda 130.7 kB | noarch/r-corpcor-1.6.10-r42hc72bb7e_1.tar.bz2  2 years and 10 months ago 2948 main
conda 130.5 kB | noarch/r-corpcor-1.6.10-r41hc72bb7e_1.tar.bz2  2 years and 10 months ago 3287 main
conda 129.9 kB | noarch/r-corpcor-1.6.10-r40hc72bb7e_0.tar.bz2  3 years and 11 months ago 4189 main
conda 129.8 kB | noarch/r-corpcor-1.6.10-r41hc72bb7e_0.tar.bz2  3 years and 11 months ago 4345 main
conda 129.8 kB | noarch/r-corpcor-1.6.9-r40hc72bb7e_1003.tar.bz2  4 years and 3 months ago 2530 main
conda 129.7 kB | noarch/r-corpcor-1.6.9-r41hc72bb7e_1003.tar.bz2  4 years and 3 months ago 2939 main
conda 129.2 kB | noarch/r-corpcor-1.6.9-r40h6115d3f_1003.tar.bz2  5 years and 3 months ago 3868 main
conda 129.7 kB | noarch/r-corpcor-1.6.9-r36h6115d3f_1003.tar.bz2  5 years and 3 months ago 8585 main
conda 128.4 kB | noarch/r-corpcor-1.6.9-r35h6115d3f_1002.tar.bz2  6 years and 1 month ago 4390 main cf202003
conda 129.6 kB | noarch/r-corpcor-1.6.9-r36h6115d3f_1002.tar.bz2  6 years and 1 month ago 4664 main cf202003
conda 128.1 kB | noarch/r-corpcor-1.6.9-r351h6115d3f_1001.tar.bz2  6 years and 9 months ago 5856 main cf202003 gcc7 cf201901
conda 138.1 kB | win-64/r-corpcor-1.6.9-r351h6115d3f_1.tar.bz2  6 years and 11 months ago 1765 main cf202003 cf201901
conda 111.1 kB | win-64/r-corpcor-1.6.9-r341h6115d3f_1.tar.bz2  6 years and 11 months ago 1754 main cf202003 cf201901
conda 127.5 kB | osx-64/r-corpcor-1.6.9-r351h6115d3f_1.tar.bz2  6 years and 11 months ago 421 main cf202003 cf201901
conda 127.9 kB | linux-64/r-corpcor-1.6.9-r351h6115d3f_1.tar.bz2  6 years and 11 months ago 5231 main cf202003 cf201901
conda 100.7 kB | osx-64/r-corpcor-1.6.9-r341h6115d3f_1.tar.bz2  6 years and 11 months ago 425 main cf202003 cf201901
conda 101.0 kB | linux-64/r-corpcor-1.6.9-r341h6115d3f_1.tar.bz2  6 years and 11 months ago 5621 main cf202003 cf201901
conda 112.9 kB | win-64/r-corpcor-1.6.9-r3.3.2_0.tar.bz2  7 years and 4 months ago 2527 main cf202003 cf201901
conda 101.1 kB | osx-64/r-corpcor-1.6.9-r3.4.1_0.tar.bz2  7 years and 4 months ago 1019 main cf202003 cf201901
conda 101.0 kB | osx-64/r-corpcor-1.6.9-r3.3.2_0.tar.bz2  7 years and 4 months ago 1034 main cf202003 cf201901
conda 112.7 kB | win-64/r-corpcor-1.6.9-r3.4.1_0.tar.bz2  7 years and 4 months ago 2498 main cf202003 cf201901

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