question about how summary.lm works

Peter Dalgaard · 2004-01-12T17:53:27Z

Dominic Barraclough writes: > Hi, > > While exploring how summary.lm generated its output I came across a > section that left me puzzled. > > > > at around line 57 > R se > > I'm hoping somebody could explain the logic of these to steps or > alternatively point me in the direction of a text that will explain > these steps. > > In particular I'm puzzled what is the relationship

Peter Dalgaard

Mon, Jan 12, 2004 9:53 AM

Dominic Barraclough <dominicb at cvs.rochester.edu> writes:

It's fairly easy, at least if we ignore the pivoting. We want
inv(X'X) where X is the design matrix, and we have X=QR where Q has
orthogonal columns. So Q'Q is the identity and X'X = R'R, i.e. R is a
Choleski factor of X'X, and we can use chol2inv to get to the inverse
of X'X. The rest is storage issues.

O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907

question about how summary.lm works

Thread (2 messages)