Other packages > Find by keyword >

corpcor  

Efficient Estimation of Covariance and (Partial) Correlation
View on CRAN: Click here


Download and install corpcor package within the R console
Install from CRAN:
install.packages("corpcor")

Install from Github:
library("remotes")
install_github("cran/corpcor")

Install by package version:
library("remotes")
install_version("corpcor", "1.6.10")



Attach the package and use:
library("corpcor")
Maintained by
Korbinian Strimmer
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2005-08-20
Latest Update: 2021-09-16
Description:
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) and Opgen-Rhein and Strimmer (2007) . 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.
How to cite:
Korbinian Strimmer (2005). corpcor: Efficient Estimation of Covariance and (Partial) Correlation. R package version 1.6.10, https://cran.r-project.org/web/packages/corpcor. Accessed 05 Jun. 2026.
Previous versions and publish date:
1.0.0 (2005-08-20 23:36), 1.1.1 (2005-11-26 21:51), 1.1.2 (2005-12-12 13:24), 1.1 (2005-09-30 19:19), 1.2.0 (2006-03-10 09:53), 1.3.0 (2006-03-29 09:08), 1.3.1 (2006-04-03 09:15), 1.4.0 (2006-04-18 11:56), 1.4.1 (2006-04-26 09:57), 1.4.2 (2006-06-06 16:00), 1.4.3 (2006-07-17 18:27), 1.4.4 (2006-09-18 10:38), 1.4.5 (2007-04-11 10:21), 1.4.6 (2007-10-20 09:05), 1.4.7 (2007-10-21 16:19), 1.4.8 (2008-11-17 12:04), 1.5.0 (2008-12-01 21:13), 1.5.1 (2008-12-23 09:02), 1.5.2 (2009-01-26 09:52), 1.5.3 (2009-10-11 16:38), 1.5.4 (2009-12-16 09:09), 1.5.5 (2010-01-14 13:05), 1.5.6 (2010-03-10 16:00), 1.5.7 (2010-08-07 09:36), 1.6.0 (2011-06-27 20:11), 1.6.1 (2012-01-20 07:49), 1.6.2 (2012-01-22 09:06), 1.6.3 (2012-05-09 06:06), 1.6.4 (2012-09-02 20:38), 1.6.5 (2013-03-27 06:49), 1.6.6 (2013-05-15 10:50), 1.6.7 (2014-09-29 18:30), 1.6.8 (2015-07-08 13:21), 1.6.9 (2017-04-01 08:30)
Other packages that cited corpcor R package
View corpcor citation profile
Other R packages that corpcor depends, imports, suggests or enhances
Complete documentation for corpcor
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA