Tagged Questions
2
votes
0answers
46 views
Orthonormal Matrix weighted regression
$Q$ is a rectangular matrix with orthonormal columns. A linear system composed of $$Qx= b$$ is really easy to solve as:
$$Q'Q=I$$
hence:
$$x=Q'b$$
Given that $Q$ is orthonormal can this be used to ...
1
vote
1answer
53 views
QR factorization for ridge regression
I am solving an overdetermined system of equations:
$$Ax= b$$
Using QR factorization, we can solve this system easily by posing it as:
$$Rx= Q'b$$
I would like to regularize my estimate of $x$. I ...
0
votes
0answers
41 views
Derivative of $H$ with respect to $W$
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 ...
