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corpcor

1.6.10Package record

Efficient Estimation of Covariance and (Partial) Correlation

128packages dependsuggested by 14
582.8Kdownloads / year
–test coverage
11/13flavors OK

Overview

About

Implements a James-Stein-type shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations. The details of the method are explained in Schafer and Strimmer (2005) DOI:10.2202/1544-6115.1175 and Opgen-Rhein and Strimmer (2007) DOI:10.2202/1544-6115.1252. 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.

Changes in 1.6.10
  • update URLs

From NEWS in the release

Install

Health

CRAN checks
2NOTE11OK
Check messages
NOTECRAN incoming feasibilityr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc
Maintainer: ‘Korbinian Strimmer <strimmerlab@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Juliane",
                      family = "Schafer",
                      role = "aut"),
               person(given = "Rainer",
                      family = "Opgen-Rhein",
                      role = "aut"),
               person(given = "Verena",
                      family = "Zuber",
                      role = "aut"),
               person(given = "Miika",
                      family = "Ahdesmaki",
                      role = "aut"),
               person(given = c("A.", "Pedro", "Duarte"),
                      family = "Silva",
                      role = "aut"),
               person(given = "Korbinian",
                      family = "Strimmer.",
                      role = "aut"),
               person(given = "Korbinian",
                      family = "Strimmer",
                      role = "cre",
                      email = "strimmerlab@gmail.com"))
as necessary.

CRAN check page ↗

Slowest check: 54 s · r-devel-windows-x86_64
Status changes
  • NOTE11 OK, 2 NOTENow
  • NOTE12 OK, 2 NOTE2026-03-10
Advisories

none known

Documentation

In release 1.6.10
READMENoVignettesNoNEWSYes · 100% structured · mentions 1.6.10Citation fileNoWebsiteYes
Help pages
15 (1 internal)includes a package overview page
Examples that run
100%13 run in a plain check
Exported functions with examples
100%
Documented parameters
100%
Return-value docs
100%
Help pages citing references
47%

Downloads

582.8K
CRAN downloads in the past year
Rank #554 · ~1.6K/day · ~48.6K/mo
Daily download trend is not available in this view yet.
43.1K30 days
123.3K90 days
582.8K1 year
Compare downloads with other packages →
Also on9.3K r2u155 autocran24.5K conda_forge184 bioconda333 c2d4u

Repository

PracticesBeta

Repository github.com/strimmerlab/software is linked, but repository-practices checks have not run for it yet.

How this is detected·Detection ruleset v4 (2026-10-20)

Dependencies

Declared dependencies
0 external dependencies (excludes base and recommended)

Installing corpcor adds no packages beyond those that come with R.

Depends (1)
R >= 3.0.2
Imports (1)
stats
LinkingTo (0)
none
Suggests (0)
none
Enhances (0)
none

People & History

People (from the free-text Author field) (6)
· added in 1.6.9
· added in 1.4.0
· added in 1.6.0
· added in 1.6.9
· added in 1.6.0

Maintainer since 1.0.0 (2005)

Listed in earlier versions (3)
Show 3 peopleHide 3 people
no longer listed · 1.0.0 to 1.6.2
Miika Ahdesm\"aki
no longer listed · 1.6.3 to 1.6.8
Juliane Sch\"afer
no longer listed · 1.6.3 to 1.6.8
Releases (35)

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  • R
    R 4.6.0 released · 2026-04-24
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    R 4.5.0 released · 2025-04-11
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    R 4.4.0 released · 2024-04-24
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    R 4.3.0 released · 2023-04-21
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    R 4.2.0 released · 2022-04-22
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    2021-09-16 · current release · diff ↗
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    R 4.1.0 released · 2021-05-18
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    R 4.0.0 released · 2020-04-24
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    R 3.6.0 released · 2019-04-26
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    R 3.5.0 released · 2018-04-23
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    R 3.2.0 released · 2015-04-16
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    R 3.1.0 released · 2014-04-10
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    R 2.15.0 released · 2012-03-30
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    2012-01-22 · diff ↗ ·
    added 2 exports
    estimate.lambda, estimate.lambda.var
  • 1.6.1
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    2012-01-20 · diff ↗ ·
    added 27 exports
    cor.shrink, cor2pcor, cov.shrink, crossprod.powcor.shrink, decompose.cov, decompose.invcov, fast.svd, invcor.shrink, invcov.shrink, is.positive.definite, make.positive.definite, mpower, pcor.shrink, pcor2cor, powcor.shrink, pseudoinverse, pvar.shrink, rank.condition, rebuild.cov, rebuild.invcov, sm.index, sm2vec, var.shrink, vec2sm, wt.moments, wt.scale, wt.var
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    R 2.14.0 released · 2011-10-31
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    R 2.8.0 released · 2008-10-20
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    R 2.6.0 released · 2007-10-03
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    R 2.2.0 released · 2005-10-06
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    2005-09-30 · diff ↗
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    2005-08-20
  • R
    R 2.1.0 released · 2005-04-18

Package metadata

First published
2005-08-20
Total releases
35 / 21 yrs
License
GPL (>= 3) OSI
Minimum R
≥ 3.0.2
Download size
22 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("corpcor")

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

APA

Balamuta, J. J. (2026). R Observatory: Metrics for corpcor version 1.6.10 [Data set]. HJJB, LLC. Data release v2026-10-23. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-23, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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