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corpcor
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]
[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 04 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
Functions, R codes and Examples using
the corpcor R package
Some associated functions: cor2pcor . corpcor-internal . corpcor.package . cov.shrink . fast.svd . invcov.shrink . mpower . pcor.shrink . powcor.shrink . pseudoinverse . rank.condition . rebuild.cov . shrink.intensity . smtools . wt.scale .
Some associated R codes: fast.svd.R . mpower.R . partial.R . pseudoinverse.R . pvt.cppowscor.R . pvt.powscor.R . pvt.svar.R . rank.condition.R . rebuild.cov.R . shrink.estimates.R . shrink.intensity.R . shrink.misc.R . smtools.R . wt.scale.R . Full corpcor package functions and examples
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