Fast QR Decomposition and Update
The QR factorization of a matrix
Cholesky decomposition via QR factorization.
Fast downdating of the QR factorization
Ordinary least squares for the linear regression model
Ordinary least squares for the linear multivariate regression model
Cross-validation of the RIDGE estimator for the linear multivariate re...
RIDGE estimator for the linear multivariate regression model
Cross-validation of the RIDGE estimator for the linear regression mode...
RIDGE estimation for the linear regression model
Solution of linear system of equations, via the QR decomposition.
Fast updating of the QR factorization
Cholesky decomposition via R factorization.
Fast downdating of the R matrix
Fast updating of the R matrix
Efficient algorithms for performing, updating, and downdating the QR decomposition, R decomposition, or the inverse of the R decomposition of a matrix as rows or columns are added or removed. It also includes functions for solving linear systems of equations, normal equations for linear regression models, and normal equations for linear regression with a RIDGE penalty. For a detailed introduction to these methods, see the book by Golub and Van Loan (2013, <doi:10.1007/978-3-319-05089-8>) for complete introduction to the methods.