Compute Partial Correlation from Correlation Matrix - and Vice Versa
Shrinkage Estimates of Covariance and Correlation
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
Positive Definiteness of a Matrix, Rank and Condition Number
Rebuild and Decompose the (Inverse) Covariance Matrix
Some Tools for Handling Symmetric Matrices