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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 21 Nov. 2024.
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)
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