Re: [eigen] cache-friendly matrix inverse |
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I'm not sure that this is still on-topic, but if you have a model
theta = M y + epsilon
(theta, y, and epsilon are vectors; M is a non-square matrix)
where
<epsilon epsilon^T> = V
then the least-squares estimate for theta is
theta = (M^T V^{-1} M)^{-1} M V^{-1} y
with covariance
(M^T V^{-1} M)^{-1}
So you really need to invert a matrix. You can invert it any
way you like (e.g. eigen-value decomposition; Gaussian elimination; ...)
but invert it you must.
R