corpcor

Efficient Estimation of Covariance and (Partial) Correlation

CRAN 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 Schafer and Strimmer (2005) doi:10.2202/1544-6115.1175 and Opgen-Rhein and Strimmer (2007) doi:10.2202/1544-6115.1252. 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.


Documentation


Team


Insights

Last 30 days

This package has been downloaded 40,432 times in the last 30 days. The downloads are officially high enough to crash an underfunded departmental server. Quite an accomplishment! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 1,634 times.

Sun
Mon
Tue
Wed
Thu
Fri
Sat
0 downloadsFeb 9, 2025
0 downloadsFeb 10, 2025
0 downloadsFeb 11, 2025
1,487 downloadsFeb 12, 2025
1,393 downloadsFeb 13, 2025
1,169 downloadsFeb 14, 2025
524 downloadsFeb 15, 2025
652 downloadsFeb 16, 2025
1,342 downloadsFeb 17, 2025
1,499 downloadsFeb 18, 2025
1,582 downloadsFeb 19, 2025
1,558 downloadsFeb 20, 2025
1,262 downloadsFeb 21, 2025
624 downloadsFeb 22, 2025
683 downloadsFeb 23, 2025
1,558 downloadsFeb 24, 2025
1,602 downloadsFeb 25, 2025
1,822 downloadsFeb 26, 2025
1,789 downloadsFeb 27, 2025
1,369 downloadsFeb 28, 2025
753 downloadsMar 1, 2025
712 downloadsMar 2, 2025
1,528 downloadsMar 3, 2025
1,690 downloadsMar 4, 2025
1,936 downloadsMar 5, 2025
1,696 downloadsMar 6, 2025
1,496 downloadsMar 7, 2025
879 downloadsMar 8, 2025
797 downloadsMar 9, 2025
1,774 downloadsMar 10, 2025
1,827 downloadsMar 11, 2025
1,795 downloadsMar 12, 2025
1,634 downloadsMar 13, 2025
0 downloadsMar 14, 2025
0 downloadsMar 15, 2025
524
1,936

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 421,121 times in the last 365 days. Practically an academic rockstar! That's enough downloads to cause murmurs at international conferences. The day with the most downloads was Oct 30, 2024 with 1,990 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


Binaries


Dependencies

  • Reverse Depends25 packages
  • Reverse Imports94 packages
  • Reverse Suggests10 packages