projection: Projection operator

In ldr: Methods for likelihood-based dimension reduction in regression

Description

Compute a projection operator given the necessary arguments.

Usage

projection(alpha, Sigma)

Arguments

alpha	A semi-orthogonal matrix with p rows and d columns, d ≤q p.
Sigma	A full rank p \times p square matrix.

Details

The projection operator is obtained as α (α^T Σ α)^{-1}α^T Σ.

Author(s)

Kofi Placid Adragni

ldr documentation built on May 2, 2019, 2:13 p.m.