CorShrink: 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", <doi:10.1093/biostatistics/kxw041>.

Version: 0.1-6
Depends: R (≥ 3.2)
Imports: ashr, glmnet, SQUAREM, reshape2, methods, Matrix, gridExtra, corrplot, corpcor, MASS
Suggests: knitr, glasso, roxygen2, devtools
Published: 2018-07-12
Author: c(person("Kushal","Dey",role=c("aut","cre"), email="kkdey@uchicago.edu"), person("Matthew","Stephens",role="aut"), person("Peter","Carbonetto",role="ctb"))
Maintainer: Kushal Dey <kkdey at uchicago.edu>
BugReports: http://github.com/kkdey/CorShrink/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/kkdey/CorShrink
NeedsCompilation: no
Citation: CorShrink citation info
Materials: README
CRAN checks: CorShrink results

Downloads:

Reference manual: CorShrink.pdf
Vignettes: Vignette Title
Package source: CorShrink_0.1-6.tar.gz
Windows binaries: r-devel: CorShrink_0.1-6.zip, r-release: CorShrink_0.1-6.zip, r-oldrel: CorShrink_0.1-6.zip
OS X binaries: r-release: CorShrink_0.1-6.tgz, r-oldrel: CorShrink_0.1-6.tgz
Old sources: CorShrink archive

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