strucchange (version 1.1-2)

solveCrossprod: Inversion of X'X

Description

Computes the inverse of the cross-product of a matrix X.

Usage

solveCrossprod(X, method = c("qr", "chol"))

Arguments

X

a matrix, typically a regressor matrix.

method

a string indicating whether the QR or the Cholesky decomposition should be used.

Value

• a matrix containing the inverse of crossprod(X).

Details

Using the Cholesky decomposition of X'X (as computed by crossprod(X)) is computationally faster and preferred to solve(crossprod(X)). Using the QR decomposition of X is slower but should be more accurate.

Examples

X <- cbind(1, rnorm(100))
solveCrossprod(X)
solve(crossprod(X))