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", .


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("CorShrink")

0.1-6 by Kushal Dey, 7 days ago


https://github.com/kkdey/CorShrink


Report a bug at http://github.com/kkdey/CorShrink/issues


Browse source code at https://github.com/cran/CorShrink


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