Compute Partial Correlation from Correlation Matrix - and Vice Versa
Internal corpcor Functions
The corpcor Package
Shrinkage Estimates of Covariance and Correlation
Fast Singular Value Decomposition
Fast Computation of the Inverse of the Covariance and Correlation Matrix
Compute the Power of a Real Symmetric Matrix
Shrinkage Estimates of Partial Correlation and Partial Variance
Fast Computation of the Power of the Shrinkage Correlation Matrix
Pseudoinverse of a Matrix
Positive Definiteness of a Matrix, Rank and Condition Number
Rebuild and Decompose the (Inverse) Covariance Matrix
Estimation of Shrinkage Intensities
Some Tools for Handling Symmetric Matrices
Weighted Expectations and Variances