corpcor swMATH ID: 10199 Software Authors: Juliane Schäfer, Rainer Opgen-Rhein, Verena Zuber, Miika Ahdesmäki, A. Pedro Duarte Silva, Korbinian Strimmer Description: R package 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 Sch”afer 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. Homepage: http://cran.r-project.org/web/packages/corpcor/index.html Source Code: https://github.com/cran/corpcor Dependencies: R Related Software: R; corpor; mvtnorm; igraph; Matrix; glasso; lme4; ggm; nlme; pcalg; catnet; gRbase; rbmn; gRain; bnlearn; deal; CODA; VCNet; edgeR; ARACNE Cited in: 9 Publications all top 5 Cited by 19 Authors 2 Amatya, Anup 2 Demirtas, Hakan 2 Denis, Jean-Baptiste 2 Scutari, Marco 1 Braverman, Amy J. 1 Cheng, Lulu 1 Gunson, Michael 1 Heinze, Georg 1 Hobbs, Jonathan 1 Jones, Beatrix 1 Kim, Inyoung 1 Michiels, Stefan 1 Qiao, Zhilei 1 Reiner-Benaim, Anat 1 Rotolo, Federico 1 Shan, Liang 1 Teixeira, Joaquim 1 Ternès, Nils 1 Ullah, Insha all top 5 Cited in 8 Serials 2 Chapman & Hall/CRC Texts in Statistical Science Series 1 Biometrical Journal 1 Communications in Statistics. Simulation and Computation 1 Journal of Statistical Computation and Simulation 1 Australian & New Zealand Journal of Statistics 1 Methodology and Computing in Applied Probability 1 Journal of Computational and Graphical Statistics 1 SIAM/ASA Journal on Uncertainty Quantification Cited in 3 Fields 9 Statistics (62-XX) 2 Numerical analysis (65-XX) 2 Computer science (68-XX) Citations by Year