Package

r-corpcor

Description

Efficient Estimation of Covariance and (Partial) Correlation. 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.

Note