Inversion of X’X

Description

Computes the inverse of the cross-product of a matrix X.

Usage

solveCrossprod(X, method = c("qr", "chol", "solve"))

Arguments

X	a matrix, typically a regressor matrix.
method	a string indicating whether the QR decomposition, the Cholesky decomposition or solve should be used.

Details

Using the Cholesky decomposition of X’X (as computed by crossprod(X)) is computationally faster and preferred to solve(crossprod(X)). Using the QR decomposition of X is slower but should be more accurate.

Value

a matrix containing the inverse of crossprod(X).

Examples

library("strucchange")

X <- cbind(1, rnorm(100))
solveCrossprod(X)

             [,1]         [,2]
[1,] 0.0100063596 0.0002520616
[2,] 0.0002520616 0.0099904270

solve(crossprod(X))

             [,1]         [,2]
[1,] 0.0100063596 0.0002520616
[2,] 0.0002520616 0.0099904270