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corpor

swMATH ID:	9381
Software Authors:	Juliane Schäfer, Rainer Opgen-Rhein, Verena Zuber, Miika Ahdesmäki, A. Pedro Duarte Silva, and Korbinian Strimmer.
Description:	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.
Homepage:	http://strimmerlab.org/software/corpcor/
Dependencies:	R
Related Software:	R; corpcor; mvtnorm; Matrix; glasso; Bioconductor; igraph; RiskPortfolios; MSQC; bootlib; mclust; lme4; gtools; elicit-normlin; PEGS; BayesDA; Systemfit; plsRcox; hierNet; grplasso
Cited in:	21 Publications

all top 5

4	Strimmer, Korbinian
3	Hall, Peter Gavin
2	Amatya, Anup
2	Demirtas, Hakan
1	Adegoke, Nurudeen A.
1	Ahdesmäki, Miika
1	Anderson, Marti Jane
1	Beißbarth, Tim
1	Bod’a, Martin
1	Boulesteix, Anne-Laure Isabeau
1	Braverman, Amy J.
1	Chen, Ti
1	Cheng, Lulu
1	Delaigle, Aurore
1	Doganay, Beyza
1	Foulley, Jean-Louis
1	Guillemot, Vincent
1	Gunson, Michael
1	Hausser, Jean
1	Heinze, Georg
1	Hobbs, Jonathan
1	Jaffrézic, Florence
1	Jang, Homin
1	Jones, Beatrix
1	Jung, Klaus
1	Kim, Inyoung
1	Kramer, Frank
1	Kruppa, Jochen
1	Marot, Guillemette
1	Michiels, Stefan
1	Miller, Hugh III
1	Opgen-Rhein, Rainer
1	Pawley, Matthew D. M.
1	Qiao, Zhilei
1	Reiner-Benaim, Anat
1	Rotolo, Federico
1	Sauerbrei, Willi
1	Shan, Liang
1	Smith, Adam N. H.
1	Teixeira, Joaquim
1	Ternès, Nils
1	Titterington, D. Michael
1	Tong, Tiejun
1	Ullah, Insha
1	Wan, Alan T. K.
1	Wang, Yuedong
1	Xue, Jing-Hao
1	Zhang, Xinyu
1	Zou, Guohua

all top 5

2	Biometrical Journal
2	Journal of Multivariate Analysis
2	Journal of Statistical Computation and Simulation
2	Statistical Applications in Genetics and Molecular Biology
1	The Annals of Statistics
1	Communications in Statistics. Simulation and Computation
1	Computational Statistics and Data Analysis
1	Test
1	Statistica Sinica
1	Australian & New Zealand Journal of Statistics
1	Journal of the Royal Statistical Society. Series B. Statistical Methodology
1	CEJOR. Central European Journal of Operations Research
1	Methodology and Computing in Applied Probability
1	Journal of Machine Learning Research (JMLR)
1	The Annals of Applied Statistics
1	Journal of Computational and Graphical Statistics
1	SIAM/ASA Journal on Uncertainty Quantification

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8	Numerical analysis (65-XX)
7	Biology and other natural sciences (92-XX)
1	Game theory, economics, finance, and other social and behavioral sciences (91-XX)