invcov.shrink {corpcor} | R Documentation |
The functions invcov.shrink
and invcor.shrink
implement an
algorithm to efficiently compute
the inverses of shrinkage estimates of covariance (cov.shrink
)
and correlation (cor.shrink
).
invcov.shrink(x, lambda, lambda.var, w, collapse=FALSE, verbose=TRUE) invcor.shrink(x, lambda, w, collapse=FALSE, verbose=TRUE)
x |
a data matrix |
lambda |
the correlation shrinkage intensity (range 0-1).
If lambda is not specified (the default) it is estimated
using an analytic formula from Sch"afer and Strimmer (2005)
- see cor.shrink .
For lambda=0 the empirical correlations are recovered. |
lambda.var |
the variance shrinkage intensity (range 0-1).
If lambda.var is not specified (the default) it is estimated
using an analytic formula from Sch"afer and Strimmer (2005)
- see var.shrink .
For lambda.var=0 the empirical variances are recovered. |
w |
optional: weights for each data point - if not specified uniform weights are assumed
(w = rep(1/n, n) with n = nrow(x) ). |
collapse |
return vector instead of matrix if estimated or specified lambda equals 1. |
verbose |
output status while computing (default: TRUE) |
Both invcov.shrink
and invcor.shrink
rely on
powcor.shrink
. This allows to compute the inverses in
a very efficient fashion (much more efficient than directly inverting
the matrices - see the example).
invcov.shrink
returns the inverse of the output from cov.shrink
.
invcor.shrink
returns the inverse of the output from cor.shrink
.
Juliane Sch"afer and Korbinian Strimmer (http://strimmerlab.org).
Sch"afer, J., and K. Strimmer. 2005. A shrinkage approach to large-scale covariance estimation and implications for functional genomics. Statist. Appl. Genet. Mol. Biol. 4:32. (http://www.bepress.com/sagmb/vol4/iss1/art32/)
powcor.shrink
, cov.shrink
, pcor.shrink
, cor2pcor
## Not run: # load corpcor library library("corpcor") # generate data matrix p = 2000 n = 10 X = matrix(rnorm(n*p), nrow = n, ncol = p) lambda = 0.23 # some arbitrary lambda # slow system.time( (W1 = solve(cov.shrink(X, lambda))) ) # very fast system.time( (W2 = invcov.shrink(X, lambda)) ) # no difference sum((W1-W2)^2) ## End(Not run)