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

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*To*: eigen@xxxxxxxxxxxxxxxxxxx*Subject*: Re: [eigen] inverse() method for TriangularView class?*From*: Helmut Jarausch <jarausch@xxxxxxxxxxxxxxxxxxx>*Date*: Mon, 31 Oct 2011 19:46:36 +0100

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.

**Follow-Ups**:**Re: [eigen] inverse() method for TriangularView class?***From:*Douglas Bates

**References**:**[eigen] inverse() method for TriangularView class?***From:*Douglas Bates

**Re: [eigen] inverse() method for TriangularView class?***From:*Benoit Jacob

**Re: [eigen] inverse() method for TriangularView class?***From:*Douglas Bates

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