glssoln | R Documentation |
Solves the generalized least squares problem.
glssoln(a, x, v, tol = sqrt(.Machine$double.eps))
Given matrices a
, x
, v
, glssoln
computes y
such that
(x-ay)^T v^{-1} (x-ay)
is minimized.
This is accomplished by first computing the Choleski decomposition of v
:
v=LL^T.
One then solves for y
in the equation
L^{-1}ay=L^{-1}x.
This is accomplished by means of a singular-value decomposition of L^{-1} a
.
The resulting y
then satisfies
x=ay+e,
where the entries of e
are the residuals.
glssoln
returns a list of two named components:
coeff
is y
as above.
residuals
is e
as above.
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