Efficient Estimation of Covariance and (Partial) Correlation

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Documentation for package ‘corpcor’ version 1.5.0

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corpcor-package The corpcor package
cor.shrink Shrinkage Estimates of Covariance and Correlation
cor2pcor Compute Partial Correlation from Correlation Matrix - and Vice Versa
cov.shrink Shrinkage Estimates of Covariance and Correlation
decompose.cov Rebuild and Decompose the (Inverse) Covariance Matrix
decompose.invcov Rebuild and Decompose the (Inverse) Covariance Matrix
fast.svd Fast Singular Value Decomposition
invcor.shrink Fast Computation of the Inverse of the Covariance and Correlation Matrix
invcov.shrink Fast Computation of the Inverse of the Covariance and Correlation Matrix
is.positive.definite Positive Definiteness of a Matrix, Rank and Condition Number
make.positive.definite Positive Definiteness of a Matrix, Rank and Condition Number
mpower Compute the Power of a Real Symmetric Matrix
mvr.predict Multivariate Shrinkage Regression
mvr.shrink Multivariate Shrinkage Regression
pcor.shrink Shrinkage Estimates of Partial Correlation and Partial Variance
pcor2cor Compute Partial Correlation from Correlation Matrix - and Vice Versa
powcor.shrink Fast Computation of the Power of the Shrinkage Correlation Matrix
pseudoinverse Pseudoinverse of a Matrix
pvar.shrink Shrinkage Estimates of Partial Correlation and Partial Variance
rank.condition Positive Definiteness of a Matrix, Rank and Condition Number
rebuild.cov Rebuild and Decompose the (Inverse) Covariance Matrix
rebuild.invcov Rebuild and Decompose the (Inverse) Covariance Matrix
sm.index Some Tools for Handling Symmetric Matrices
sm2vec Some Tools for Handling Symmetric Matrices
var.shrink Shrinkage Estimates of Covariance and Correlation
vec2sm Some Tools for Handling Symmetric Matrices
wt.moments Weighted Expectations and Variances
wt.scale Weighted Expectations and Variances
wt.var Weighted Expectations and Variances