qr.rtr.inv: Reconstruct the Inverse of R'R from a QR Object
In lasso2: L1 Constrained Estimation aka `lasso'

From a QR object, compute the inverse matrix which is implicitely (but not explicitly!) used to solve the underlying least squares problem.

1	qr.rtr.inv(qr)

`qr`	\"qr\" object, typically resulting from `qr(.)`.

The p * p matrix (R'R)^(-1) or equivalently, the inverse of X'X (i.e. t(X) %*% X in R).

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(h3 <- 1/outer(0:5, 1:3, "+"))
rtr <- qr.rtr.inv(qr(h3))
all.equal(c(rtr %*% 1:3), solve(crossprod(h3), 1:3))

lasso2 documentation built on Oct. 8, 2021, 9:10 a.m.

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