Matrix Algebra : Theory, Computations, and Applications in Statistics
We often come across mathematical expressions represented via matrices and assume that numerical calculations exactly happen the way expressions appear. Let’s take for example
These are the well known “normal equations” to compute regression coefficients. One might look at this expression and conclude that the code that computes beta inverts the Gramian matrix XTX and then multiplies the inverse with XTy. Totally false. Why? The condition number of the Gramian matrix XTX equals square of the condition number of X.