On Mon, Feb 10, 2014 at 7:00 PM, alex <argri...@ncsu.edu> wrote: > On Mon, Feb 10, 2014 at 11:27 AM, <josef.p...@gmail.com> wrote: > > How do we calculate the diagonal of the hat matrix without using N by N > > matrices? > > Not sure if this was a rhetorical question or what, but this seems to work > leverages = np.square(scipy.linalg.qr(X, mode='economic')[0]).sum(axis=1) > http://www4.ncsu.edu/~ipsen/ps/slides_CSE2013.pdf
Rhetorical or not, but FWIW I'll prefer to take singular value decomposition (u, s, vt= svd(x)) and then based on the singular values sI'll estimate a "numerically feasible rank" r. Thus the diagonal of such hat matrix would be (u[:, :r]** 2).sum(1). Regards, -eat > > Sorry for off-topic... > _______________________________________________ > NumPy-Discussion mailing list > NumPy-Discussion@scipy.org > http://mail.scipy.org/mailman/listinfo/numpy-discussion >
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