For those possibly interested in reading something more about the rehabilitation of the
Cholesky decomposition following its long exile in the Siberia of numerical analysis
I would recommend Micheal Saunders brief:
\textsc{Saunders, M.~A.} (1994): ``Major Cholesky would feel proud,''
\emph{ORSA J. on Computing}, 6, 23--27.
url: www.econ.uiuc.edu/~roger/my.html Roger Koenker
email [EMAIL PROTECTED] Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
On 1 Nov 2003, Douglas Bates wrote:
> Thomas Lumley <[EMAIL PROTECTED]> writes:
>
>
> chol2inv(crossprod(mm)) %*% crossprod(mm,y)
>
> is competitive in terms of timing, should be slightly more stable (it
> uses the Cholesky decomposition of the positive-definite matrix
> crossprod(mm) rather than an LU decomposition) and also produces the
> (X'X)^{-1} matrix.
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