Re: [eigen] inverse() method for TriangularView class?

On 10/31/2011 06:10:16 PM, Douglas Bates wrote:
> In my case it is not that I want to use the inverse to form solutions
> of systems.  I actually want the inverse and at present am applying
> solve to the identity matrix to obtain it.  My proposal for an
> inverse
> method is simply to make my code more concise and transparent.
>
> A common operation in statistical computing is solving a least
> squares
> problem, $\hat{\beta}=\arg\min_{\beta}\|y - X\beta\|$ and calculating
> the standard errors of the estimated coefficients.  That calculation
> requires the square roots of the diagonal elements of X'X.  If you

Isn't it more stable to use the SVD of X = U S V'  (S diagonal)
Then (X'X)^(-1)= V S^(-2) V'

Helmut.



 Mail converted by MHonArc 2.6.19+ http://listengine.tuxfamily.org/