[R] Matrix multiplications
peter dalgaard
pdalgd at gmail.com
Sat May 21 21:18:21 CEST 2016
> On 21 May 2016, at 21:00 , george brida <george.brida at gmail.com> wrote:
>
> Dear R users:
>
> I have written the following lines :
>
>> x=c(10,11,12,13,14,17,15,16,10,11,41,25,26,14,12,14,15,20,14,22)
>> x=matrix(x,ncol=2)
>> a=matrix(1,nrow(x),1)
>> X=cbind(a,x)
>> y=c(12.00, 11.00, 13.00, 12.50, 14.00, 18.50, 15.00, 12.50, 13.75, 15.00)
>
>> b=solve(t(X)%*% X)%*% t(X)%*% y
>
> when I wrote the following line
>> (t(y-X %*% b)%*%(y-X %*% b)/(length(y)-ncol(X)))*solve(t(X)%*% X)
> I have obtained an error message, I don't know why namely (t(y-X %*%
> b)%*%(y-X %*% b)/(length(y)-ncol(X))) is a scalar:
>> (t(y-X %*% b)%*%(y-X %*% b)/(length(y)-ncol(X)))
> [,1]
> [1,] 3.620354
>
>
> Can you please help me.
Mistake is that (t(y-X %*% b)%*%(y-X %*% b)/(length(y)-ncol(X))) is NOT a scalar, but a 1 x 1 matrix.
This works:
as.vector((t(y-X %*% b)%*%(y-X %*% b))/(length(y)-ncol(X)))*solve(t(X)%*% X)
as does recognizing the first term as a sum of squares:
sum((y-X %*% b)^2)/(length(y)-ncol(X))*solve(t(X)%*% X)
(And, for the Illuminati, a Kronecker product works too:
(t(y-X %*% b)%*%(y-X %*% b)/(length(y)-ncol(X))) %x% solve(t(X)%*% X)
This could be useful for multivariate y.)
>
> Thank you
>
> George
>
> [[alternative HTML version deleted]]
>
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--
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
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Email: pd.mes at cbs.dk Priv: PDalgd at gmail.com
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