corpcor: Efficient Estimation of Covariance and (Partial) Correlation. This package 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 Schäfer 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.
Keywords for this software
References in zbMATH (referenced in 11 articles )
Showing results 1 to 11 of 11.
- Reiner-Benaim, Anat: Scan statistic tail probability assessment based on process covariance and window size (2016)
- Demirtas, Hakan; Amatya, Anup; Doganay, Beyza: Binnor: an $\Cal R$ package for concurrent generation of binary and normal data (2014)
- Delaigle, Aurore; Hall, Peter: Effect of heavy tails on ultra high dimensional variable ranking methods (2012)
- Tong, Tiejun; Jang, Homin; Wang, Yuedong: James-Stein type estimators of variances (2012)
- Ahdesmäki, Miika; Strimmer, Korbinian: Feature selection in omics prediction problems using cat scores and false nondiscovery rate control (2010)
- Hall, Peter; Miller, Hugh: Modeling the variability of rankings (2010)
- Hausser, Jean; Strimmer, Korbinian: Entropy inference and the James-Stein estimator, with application to nonlinear gene association networks (2009)
- Marot, Guillemette; Foulley, Jean-Louis; Jaffrézic, Florence: A structural mixed model to shrink covariance matrices for time-course differential gene expression studies (2009)
- Zhang, Xinyu; Chen, Ti; Wan, Alan T.K.; Zou, Guohua: Robustness of Stein-type estimators under a non-scalar error covariance structure (2009)
- Strimmer, Korbinian: Comments on: Augmenting the bootstrap to analyze high dimensional genomic data (2008)
- Opgen-Rhein, Rainer; Strimmer, Korbinian: Accurate ranking of differentially expressed genes by a distribution-free shrinkage approach (2007)