I would like to orthonormalize vectors contained in a matrix X taking into account row weights (matrix diagonal D). ie, I want to obtain Z=XA with t(Z)%*%D%*%Z=diag(1)
I can do the Gram-Schmidt orthogonalization with subsequent weighted regressions. I know that in the case of uniform weights, qr can do the trick. I wonder if there is a way to do it in the case of non uniform weights by qr or svd ?
Thanks in advances.
Stéphane DRAY
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