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: a fixed-point phase in the log domain followed by a matrix-free inexact Newton phase with preconditioned conjugate gradients. Reference implementations of the plain fixed point, Broyden's method, and full Newton are included. Uses base R only.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling linux/jammy R-4.5 | GFT_1.0.0.tar.gz |
64.0 KiB |
1.0.0 |
rolling linux/noble R-4.5 | GFT_1.0.0.tar.gz |
63.9 KiB |
1.0.0 |
rolling source/ R- | GFT_1.0.0.tar.gz |
18.8 KiB |
1.0.0 |
latest linux/jammy R-4.5 | GFT_1.0.0.tar.gz |
64.0 KiB |
1.0.0 |
latest linux/noble R-4.5 | GFT_1.0.0.tar.gz |
63.9 KiB |
1.0.0 |
latest source/ R- | GFT_1.0.0.tar.gz |
18.8 KiB |
1.0.0 |
2026-04-23 source/ R- | GFT_1.0.0.tar.gz |
0 B |