Efficient Estimation of Covariance and (Partial) Correlation

Documentation for package ‘corpcor’ version 1.6.8

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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
crossprod.powcor.shrink	Fast Computation of the Power of the Shrinkage Correlation Matrix
decompose.cov	Rebuild and Decompose the (Inverse) Covariance Matrix
decompose.invcov	Rebuild and Decompose the (Inverse) Covariance Matrix
estimate.lambda	Estimation of Shrinkage Intensities
estimate.lambda.var	Estimation of Shrinkage Intensities
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
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