Package: r-cran-corpcor Version: 1.6.8-2~bpo8+1 Architecture: all Maintainer: Debian Science Team Installed-Size: 99 Depends: r-base-core (>= 3.1.1-1) Filename: jessie/r-cran-corpcor/r-cran-corpcor_1.6.8-2~bpo8+1_all.deb Size: 88882 MD5sum: 24a06cbde22dd4bc8bfb4fe22175ccd9 SHA1: 8bf75d66a8c2bef3b65083c5ffca71ae10f927f9 SHA256: c95460aa850c2b3aeab176e5fcc6f1fb46113eb17ceb47a63d870574c1224500 Section: gnu-r Priority: optional Homepage: https://cran.r-project.org/web/packages/corpcor Description: GNU R for Estimation of Covariance and Correlation -- corpcor GNU R package which implements a James-Stein-type shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations. The approach is both computationally as well as statistically very efficient, it is applicable to "small n, large p" data, and always returns a positive definite and well-conditioned covariance matrix. In addition to inferring the covariance matrix the package also provides shrinkage estimators for partial correlations and partial variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well as any arbitrary power of the shrinkage correlation matrix. Furthermore, functions are available for fast singular value decomposition, for computing the pseudoinverse, and for checking the rank and positive definiteness of a matrix.