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decorrelate
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
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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 08 Mar. 2026.
Previous versions and publish date:
0.1.6.3 (2025-07-17 22:40)
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