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Refers to any model where a random variable is related to one or more random variables by a function that is linear in a finite number of parameters.
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Resolution Matrix and data subsets
If I solve a regularized linear least squares problem,
$$
\min_x || y - A x ||^2 + x^T \Lambda x
$$
then the solution is
$$
x^{est} = (A^T A + \Lambda)^{-1} A^T y
$$
Now the resolution matrix is the m …
1
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0
answers
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Comparing the PCA modes from two different covariances
Suppose I have a set of $n$ vectors $x_i$ arranged as columns of a matrix $X$ and I want to perform PCA to reduce the number of dimensions needed to explain some set of observations. I have developed …