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Questions about the properties of vector spaces and linear transformations, including linear systems in general.

1 vote

Making MATLAB svd robust to transpose operation

In Matlab, there is a sign ambiguity (i.e. $\pm1$). In LAPACK, it is worse, the ambiguity is $e^{i \phi}$, which Matlab removes later on. Maybe you can take each vector of $U$ individual, find the co …
Tony Bruguier's user avatar
1 vote
2 answers
1k views

Inequality-constrained linear-regression, what is the covariance of the estimator?

If you do a linear regression: $||Ax - e ||^2$, where e is iid Gaussian, mean 0 and variance 1, then your answer is $x_{hat} = (A' A)^{-1} (A' * e)$ and the covariance of $x_{hat}$ is $(A' A)^{-1}$ N …
Tony Bruguier's user avatar