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Effective degrees of freedom of a linear smoother

Source: R/esl_native_ch3.R
morie_esl_effective_dof.Rd

df(S) = trace(S) (ESL eq 5.16, 7.34), with trace(S S') and trace(2 S - S S') alongside; a symmetric idempotent S is a projection.

Usage

morie_esl_effective_dof(S)

Arguments

S

Square smoother matrix.

Value

Named list: estimate, trace_ssT, df_variance, is_projection, n.

References

Hastie, Tibshirani & Friedman (2009), sec. 5.4.1.

Examples

X <- cbind(1, 0:3)
morie_esl_effective_dof(X %*% solve(crossprod(X), t(X)))$estimate
#> [1] 2