qrchol

qrchol, provides the Cholesky decomposition of the symmetric and positive definite matrix \(X^\top X\in\mathbb{R}^{p\times p}\), where \(X\in\mathbb{R}^{n\times p}\) is the input matrix.

Efficient algorithms for performing, updating, and removing rows or columns from the QR decomposition, R decomposition, or the inverse of the R decomposition of a matrix as rows or columns are added or removed. It also includes functions for solving linear systems of equations, normal equations for linear regression models, and normal equations for linear regression with a RIDGE penalty. For a detailed introduction to these methods, the monograph Matrix Computations (2013, <doi:10.1007/978-3-319-05089-8>) for complete introduction to the methods.

Mauro Bernardi

fastQR

Fast QR Decomposition and Update

Claudio Busatto

Manuela Cattelan

qrchol function

<dl><dt>X</dt>
<dd>an \((n\times p)\) matrix.</dd>
<dt>nb</dt>
<dd>number of blocks for the recursive block QR decomposition, default is NULL.</dd></dl>

Arguments

Cholesky decomposition via QR factorization. — qrchol

<dl>

<dt>X</dt>
<dd>an \((n\times p)\) matrix.</dd>


<dt>nb</dt>
<dd>number of blocks for the recursive block QR decomposition, default is NULL.</dd>

</dl>

qrchol: Cholesky decomposition via QR factorization.

Description

Usage

Value

Arguments