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decorrelate  

Decorrelation Projection Scalable to High Dimensional Data
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("decorrelate", "0.1.6.4")



Attach the package and use:
library("decorrelate")
Maintained by
Gabriel Hoffman
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-07-17
Latest Update: 2025-07-18
Description:
Data whitening is a widely used preprocessing step to remove correlation structure since statistical models often assume independence. Here we use a probabilistic model of the observed data to apply a whitening transformation. This Gaussian Inverse Wishart Empirical Bayes model substantially reduces computational complexity, and regularizes the eigen-values of the sample covariance matrix to improve out-of-sample performance.
How to cite:
Gabriel Hoffman (2025). decorrelate: Decorrelation Projection Scalable to High Dimensional Data. R package version 0.1.6.4, https://cran.r-project.org/web/packages/decorrelate. Accessed 27 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:31), 0.1.6.3 (2025-07-17 22:40)
Other packages that cited decorrelate R package
View decorrelate citation profile
Other R packages that decorrelate depends, imports, suggests or enhances
Complete documentation for decorrelate
Functions, R codes and Examples using the decorrelate R package
Full decorrelate package functions and examples
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