Adaptive Shrinkage of Correlation and Covariance Matrices

Performs adaptive shrinkage of correlation and covariance matrices using a mixture model prior over the Fisher z-transformation of the correlations. It allows separate shrinkage intensity for each cell of the correlation matrix. Can also we flexibly extended to shrinking correlation like quantities such as cosine similarities in word2vec models and to partial correlations in conditional graph estimation. For details on methods, refer to Stephens (2017) "False discovery rates: a new deal", .


Reference manual

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0.1-6 by Kushal Dey, 7 days ago

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Authors: c(person("Kushal","Dey",role=c("aut","cre"), email="[email protected]"), person("Matthew","Stephens",role="aut"), person("Peter","Carbonetto",role="ctb"))

Documentation:   PDF Manual  

GPL (>= 2) license

Imports ashr, glmnet, SQUAREM, reshape2, methods, Matrix, gridExtra, corrplot, corpcor, MASS

Suggests knitr, glasso, roxygen2, devtools

See at CRAN