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.

Version:	1.2.0
Depends:	R (≥ 3.5.0)
Suggests:	testthat (≥ 3.0.0), knitr, rmarkdown
Published:	2026-09-22
DOI:	10.32614/CRAN.package.GFT
Author:	Ilya Archakov [aut], Peter Reinhard Hansen [aut, cre]
Maintainer:	Peter Reinhard Hansen <hansen at unc.edu>
BugReports:	https://github.com/reinhardhansen/GFT/issues
License:	MIT + file LICENSE
URL:	https://github.com/reinhardhansen/GFT
NeedsCompilation:	no
Materials:	README, NEWS
CRAN checks:	GFT results

Documentation:

Reference manual:	GFT.html , GFT.pdf
Vignettes:	The generalized Fisher transformation and its inverse (source, R code)

Downloads:

Package source:	GFT_1.2.0.tar.gz
Windows binaries:	r-devel: GFT_1.0.1.zip, r-release: GFT_1.0.1.zip, r-oldrel: GFT_1.0.1.zip
macOS binaries:	r-release (arm64): GFT_1.0.1.tgz, r-oldrel (arm64): GFT_1.0.1.tgz, r-release (x86_64): GFT_1.2.0.tgz, r-oldrel (x86_64): GFT_1.0.1.tgz
Old sources:	GFT archive

Linking:

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