Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

I am trying to solve a generalized linear squares model with the following form:

$\hat{Y}= X(X'\Omega^{-1}WX)^{-1}X'\Omega^{-1}WY $

$ H= X(X'\Omega^{-1}WX)^{-1}X'\Omega^{-1}W $

$ \Omega$ is the co-variance matrix.

$ W$ is a diagonal matrix that weights a given observation $w_i$ and is normally $I$.

Occasionally a single or multiple diagonal entries in $W$ are updated.

How should a change in $W$ update $H$ without having to recompute $H$ entirely?

share|improve this question
The title and body don't match. –  joriki Nov 27 '12 at 11:26
Thanks for pointing that out. –  Atlas Nov 27 '12 at 11:55

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.