[R] lm handling of ill-conditioned systems
tom at ait-tech.com
Mon Mar 20 15:45:27 CET 2000
The lm() function in R seems to handle the inversion of singular X'X matrices
(where there is collinearity between regression inputs) in a way
where one of the inputs is dropped and this also seems to be the
default behavior in SAS (please let me know if i'm wrong about this).
In some other packages (i.e. octave ols() function) the pseudo
inverse is computed where singular values less then some small threshold are
not included in computation of inverse but the data columns themselves are not
I am wandering if few experts could comment on what is a better (best?) way to
handle singular matrices in this context or to perhaps point me to some
literature on this.
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