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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  9 months and 3 days ago 4308 main
conda 131.3 kB | noarch/r-corpcor-1.6.10-r44hc72bb7e_3.conda  9 months and 3 days ago 1796 main
conda 128.8 kB | noarch/r-corpcor-1.6.10-r43hc72bb7e_2.conda  1 year and 9 months ago 5795 main
conda 128.8 kB | noarch/r-corpcor-1.6.10-r42hc72bb7e_2.conda  1 year and 9 months ago 2276 main
conda 130.7 kB | noarch/r-corpcor-1.6.10-r42hc72bb7e_1.tar.bz2  2 years and 5 months ago 2666 main
conda 130.5 kB | noarch/r-corpcor-1.6.10-r41hc72bb7e_1.tar.bz2  2 years and 5 months ago 2934 main
conda 129.9 kB | noarch/r-corpcor-1.6.10-r40hc72bb7e_0.tar.bz2  3 years and 6 months ago 3828 main
conda 129.8 kB | noarch/r-corpcor-1.6.10-r41hc72bb7e_0.tar.bz2  3 years and 6 months ago 4064 main
conda 129.8 kB | noarch/r-corpcor-1.6.9-r40hc72bb7e_1003.tar.bz2  3 years and 10 months ago 2232 main
conda 129.7 kB | noarch/r-corpcor-1.6.9-r41hc72bb7e_1003.tar.bz2  3 years and 10 months ago 2639 main
conda 129.2 kB | noarch/r-corpcor-1.6.9-r40h6115d3f_1003.tar.bz2  4 years and 11 months ago 3567 main
conda 129.7 kB | noarch/r-corpcor-1.6.9-r36h6115d3f_1003.tar.bz2  4 years and 11 months ago 8298 main
conda 128.4 kB | noarch/r-corpcor-1.6.9-r35h6115d3f_1002.tar.bz2  5 years and 8 months ago 4090 main cf202003
conda 129.6 kB | noarch/r-corpcor-1.6.9-r36h6115d3f_1002.tar.bz2  5 years and 8 months ago 4375 main cf202003
conda 128.1 kB | noarch/r-corpcor-1.6.9-r351h6115d3f_1001.tar.bz2  6 years and 4 months ago 5557 main cf202003 gcc7 cf201901
conda 138.1 kB | win-64/r-corpcor-1.6.9-r351h6115d3f_1.tar.bz2  6 years and 6 months ago 1752 main cf202003 cf201901
conda 111.1 kB | win-64/r-corpcor-1.6.9-r341h6115d3f_1.tar.bz2  6 years and 6 months ago 1740 main cf202003 cf201901
conda 127.5 kB | osx-64/r-corpcor-1.6.9-r351h6115d3f_1.tar.bz2  6 years and 6 months ago 415 main cf202003 cf201901
conda 127.9 kB | linux-64/r-corpcor-1.6.9-r351h6115d3f_1.tar.bz2  6 years and 6 months ago 4899 main cf202003 cf201901
conda 100.7 kB | osx-64/r-corpcor-1.6.9-r341h6115d3f_1.tar.bz2  6 years and 6 months ago 418 main cf202003 cf201901
conda 101.0 kB | linux-64/r-corpcor-1.6.9-r341h6115d3f_1.tar.bz2  6 years and 6 months ago 5279 main cf202003 cf201901
conda 112.9 kB | win-64/r-corpcor-1.6.9-r3.3.2_0.tar.bz2  6 years and 11 months ago 1840 main cf202003 cf201901
conda 101.1 kB | osx-64/r-corpcor-1.6.9-r3.4.1_0.tar.bz2  6 years and 11 months ago 392 main cf202003 cf201901
conda 101.0 kB | osx-64/r-corpcor-1.6.9-r3.3.2_0.tar.bz2  6 years and 11 months ago 366 main cf202003 cf201901
conda 112.7 kB | win-64/r-corpcor-1.6.9-r3.4.1_0.tar.bz2  6 years and 11 months ago 1819 main cf202003 cf201901
conda 100.6 kB | linux-64/r-corpcor-1.6.9-r3.3.2_0.tar.bz2  6 years and 11 months ago 4969 main cf202003 cf201901
conda 101.0 kB | linux-64/r-corpcor-1.6.9-r3.4.1_0.tar.bz2  6 years and 11 months ago 5162 main cf202003 cf201901
conda 101.1 kB | win-64/r-corpcor-1.6.8-r3.3.2_0.tar.bz2  7 years and 7 months ago 1893 main cf202003 cf201901
conda 101.1 kB | win-64/r-corpcor-1.6.8-r3.4.1_0.tar.bz2  7 years and 7 months ago 1889 main cf202003 cf201901
conda 88.3 kB | osx-64/r-corpcor-1.6.8-r3.4.1_0.tar.bz2  7 years and 7 months ago 502 main cf202003 cf201901
conda 88.3 kB | osx-64/r-corpcor-1.6.8-r3.3.2_0.tar.bz2  7 years and 7 months ago 387 main cf202003 cf201901
conda 88.4 kB | linux-64/r-corpcor-1.6.8-r3.3.2_0.tar.bz2  7 years and 7 months ago 5215 main cf202003 cf201901
conda 88.6 kB | linux-64/r-corpcor-1.6.8-r3.4.1_0.tar.bz2  7 years and 7 months ago 5632 main cf202003 cf201901

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