The transformation | The inverse | Solvers | References
Package: GFT 1.2.0
GFT: Generalized Fisher Transformation of Correlation Matrices
Forward and inverse generalized Fisher transformation (GFT) of correlation matrices, gamma = vecl(log C), which maps the positive definite correlation matrices one-to-one onto the Euclidean space of dimension n(n-1)/2, see Archakov and Hansen (2021) <doi:10.3982/ECTA16910>. The inverse is computed from a variational characterization by the GFT-FP+N algorithm: matrix-free inexact Newton steps for the log-diagonal residual, solved by preconditioned conjugate gradients, with fixed-point safeguards that guarantee global convergence. Sequential inversion with a tangent predictor, a certified quadrature preconditioner, and comparison solvers (the plain fixed point, Broyden's method, full Newton, Anderson acceleration, and limited-memory BFGS) are included. Uses base R only.
Authors:
GFT_1.2.0.tar.gz
GFT_1.2.0.zip(r-4.7-any)GFT_1.2.0.zip(r-4.6-any)GFT_1.2.0.zip(r-4.5-any)
GFT_1.2.0.tgz(r-4.6-any)GFT_1.2.0.tgz(r-4.5-any)
GFT_1.2.0.tar.gz(r-4.7-any)GFT_1.2.0.tar.gz(r-4.6-any)
GFT_1.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
GFT/json (API)
| # Install 'GFT' in R: |
| install.packages('GFT', repos = c('https://reinhardhansen.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/reinhardhansen/gft/issues
Last updated from:663d25d86e. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 176 | ||
| source / vignettes | OK | 302 | ||
| linux-release | OK | 170 | ||
| macos-release | OK | 84 | ||
| macos-oldrel | OK | 101 | ||
| windows-devel | OK | 71 | ||
| windows-release | OK | 80 | ||
| windows-oldrel | OK | 60 | ||
| wasm-release | OK | 100 |
Exports:gftgft_predictinv_gftinv_gft_andersoninv_gft_broydeninv_gft_fpinv_gft_lbfgsinv_gft_newtoninv_gft_pathunveclvecl
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Generalized Fisher Transformation of Correlation Matrices | GFT-package GFT |
| Generalized Fisher Transformation | gft |
| Inverse Generalized Fisher Transformation (GFT-FP+N) | inv_gft |
| Anderson Acceleration of the GFT Fixed Point | inv_gft_anderson |
| Inverse GFT by Broyden's Method | inv_gft_broyden |
| Inverse GFT by the Archakov-Hansen Fixed Point | inv_gft_fp |
| Limited-Memory BFGS for the Inverse GFT | inv_gft_lbfgs |
| Inverse GFT by Full Newton | inv_gft_newton |
| Sequential Inversion with Warm Starts and the Tangent Predictor | gft_predict inv_gft_path |
| Print an Inverse GFT Result | print.gft_inv |
| Stack and Unstack Below-Diagonal Elements | unvecl vecl |