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. A separate shrinkage intensity may be specified for each cell of the correlation or the covariance table.

Version: 0.1-5
Depends: R (≥ 3.2)
Imports: ashr, reshape2, Matrix, gridExtra, corrplot, corpcor
Suggests: knitr, glasso
Published: 2018-04-10
Author: Kushal Dey [aut, cre], Matthew Stephens [aut], Peter Carbonetto [ctb]
Maintainer: Kushal Dey <kkdey at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: CorShrink citation info
Materials: README
CRAN checks: CorShrink results


Reference manual: CorShrink.pdf
Vignettes: Vignette Title
Package source: CorShrink_0.1-5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: CorShrink_0.1-5.tgz, r-oldrel: CorShrink_0.1-5.tgz
Old sources: CorShrink archive


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