B = (X'X)^-1 X'Y column by column by QR; residual covariance E'E / (N - q)
(ESL eqs 3.34-3.39).
Usage
morie_esl_multi_output_ls(X, Y, add_intercept = TRUE)
Arguments
- X
Predictors, N by p.
- Y
Responses, N by K.
- add_intercept
Prepend a column of ones.
Value
Named list: coefficients (q by K), fitted, rss, residual_covariance,
n, q.
References
Hastie, Tibshirani & Friedman (2009), sec. 3.2.4.
Examples
i <- 1:20
X <- cbind(sin(i), cos(i))
morie_esl_multi_output_ls(X, cbind(X[, 1] + 0.1 * cos(5 * i), X[, 2] - X[, 1]))$coefficients
#> [,1] [,2]
#> [1,] 0.00158229 -3.236186e-17
#> [2,] 1.00230493 -1.000000e+00
#> [3,] -0.01285825 1.000000e+00
