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Re: st: mean centering
From
"JVerkuilen (Gmail)" <[email protected]>
To
[email protected]
Subject
Re: st: mean centering
Date
Mon, 21 Jan 2013 10:16:22 -0500
On Mon, Jan 21, 2013 at 8:59 AM, David Hoaglin <[email protected]> wrote:
> I don't think one needs the SVD to solve a least-squares problem.
I think the idea was that it was the most numerically stable
algorithm, but that QR was the most practical for the vast majority of
problems. The class in question was taught by Mike Heath, who is one
of the big names in scientific computing, but my copy of the book is
elsewhere and it was quite a while ago. To the Google:
http://www.cse.uiuc.edu/heath/scicomp/notes/chap03.pdf
Near the end of the slides he's got a comparison of the different methods.
The
> SVD, however, provides the information for the detailed diagnosis of
> collinearity developed by Belsley, Kuh, and Welsch (1980).
Yes, and -biplot- can be very helpful to look through X variables if
one scales appropriately, though it wouldn't deal with the column of
1s appropriately, so I think that a regression diagnostic biplot would
need to be adapted appropriately. Hmmm, hadn't thought of that.
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