Actually, the correct permutation is given by the inverse of qr$pivot:
foo$coefficients[foo$qr$pivot] - foo$coefficients
Here foo is an object returned by lsfit, see below.
-Original Message-
From: Vadim Ogranovich
Sent: Friday, March 13, 2009 5:25 PM
To: 'r-devel@r-project.org'
Subject: lsfit w/ rank-deficient x
Dear R-devel,
It seems that lsfit incorrectly reports coefficients when the input matrix 'x'
is rank-deficient, see the example below:
## here values of 'b' and 'c' are incorrectly swapped
x - cbind(a=rnorm(100), b=0, c=rnorm(100)); y - rnorm(100); lsfit(x, y)$coef
Intercept a b c
-0.0227787 0.1042860 -0.1729261 0.000
Warning message:
In lsfit(x, y) : 'X' matrix was collinear
## correct values
lsfit(x[,-2], y)$coef
Intercept a c
-0.0227787 0.1042860 -0.1729261
I looked inside the lsfit code and it appears that even though rank-deficiency
is detected there is no attempt to patch the coefficients. Why is that?
Taking clues from the code it appears that the following trick might do the
work:
foo - lsfit(x, y)
Warning message:
In lsfit(x, y) : 'X' matrix was collinear
structure(foo$coefficients[foo$qr$pivot], names=names(foo$coefficients))
Intercept a b c
0.14857345 -0.07473099 0. 0.12835155
Is this reliable or there are cases when it may fail?
Thanks,
Vadim
P.S.
version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 7.1
year 2008
month 06
day23
svn rev45970
language R
version.string R version 2.7.1 (2008-06-23)
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