graphpcor: Models for Correlation Matrices Based on Graphs

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Abstract
Implement some models for correlation/covariance matrices including two approaches to model correlation matrices from a graphical structure. One use latent parent variables as proposed in Sterrantino et. al. (2024) . The other uses a graph to specify conditional relations between the variables. The graphical structure makes correlation matrices interpretable and avoids the quadratic increase of parameters as a function of the dimension. In the first approach a natural sequence of simpler models along with a complexity penalization is used. The second penalizes deviations from a base model. These can be used as prior for model parameters, considering C code through the 'cgeneric' interface for the 'INLA' package (). This allows one to use these models as building blocks combined and to other latent Gaussian models in order to build complex data models.

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