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2006 Jun 09
1
X'W in Matrix
Hi!
I have used the Matrix package (Version: 0.995-10) successfully
to obtain the OLS solution for a problem where the design matrix X is
44000x6000. X is very sparse (about 80000 non-zeros elements).
Now I want to do WLS: (X'WX)^-1X'Wy
I tried W=Diagonal(length(w),w) and
wX=solve(X,W)
but after various minutes R gives a not enough
memory error (Im using a 64bit machine with 16Gigs of RAM).
I ended up doing this:
wX=Matrix(as.matrix...