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GFT
View on CRAN: Click
here
Download and install GFT package within the R console
Install from CRAN:
install.packages("GFT")
Install from Github:
library("remotes")
install_github("cran/GFT") Install by package version:
library("remotes")
install_version("GFT", "1.2.0") Attach the package and use:
library("GFT")
Maintained by
Peter Reinhard Hansen
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All associated links for this package
First Published: 2026-08-23
Latest Update: 2026-08-23
Description:
Forward and inverse generalized Fisher transformation (GFT) of correlation matrices, gamma = vecl(log C), which maps the positive definite correlation matrices one-to-one onto the Euclidean space of dimension n(n-1)/2, see Archakov and Hansen (2021) <doi:10.3982/ECTA16910>. The inverse is computed from a variational characterization by the GFT-FP+N algorithm: a fixed-point phase in the log domain followed by a matrix-free inexact Newton phase with preconditioned conjugate gradients. Reference implementations of the plain fixed point, Broyden's method, and full Newton are included. Uses base R only.
How to cite:
Peter Reinhard Hansen (2026). GFT: Generalized Fisher Transformation of Correlation Matrices. R package version 1.2.0, https://cran.r-project.org/web/packages/GFT. Accessed 24 Oct. 2026.
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