| Library: | xplore |
| See also: | xdiag diag diagrv |
| Quantlet: | xdiagp | |
| Description: | calculates the diagonal elements of a projection matrix X(X'X)^(-1) X' or (diag(w)^(1/2))X(X'diag(w)X)^(-1) X'diag(w)^(1/2); the calculation may be performed with a weight vector W. |
| Usage: | d = xdiagp (x {,w}) | |
| Input: | ||
| x | n x p matrix | |
| w | optional, n x 1 weight vector | |
| Output: | ||
| d | n x 1 vector of diagonal elements of the projection matrix X(X'X)^(-1) X' or (diag(w)^(1/2))X(X'diag(w)X)^(-1) X'diag(w)^(1/2) | |
library("xplore")
n=10
x=(1:n)~matrix(n)
xdiagp(x)
Contents of d [ 1,] 0.34545 [ 2,] 0.24848 [ 3,] 0.17576 [ 4,] 0.12727 [ 5,] 0.10303 [ 6,] 0.10303 [ 7,] 0.12727 [ 8,] 0.17576 [ 9,] 0.24848 [10,] 0.34545
library("xplore")
n=5
x=(1:n)~matrix(n)
w = sqrt((1:n))
xdiagp(x, w)
Contents of d [1,] 0.6 [2,] 0.42426 [3,] 0.34641 [4,] 0.6 [5,] 1.3416