Hi, I’m working with a larger algorithm in which a recurring step (done 5 - 20 times) is to carry out a linear regression y^k = X\beta^k + \varepsilon^k with roughly 100.000 observations and 1.000-5.000 variables, where y^k is either a length 100.000 vector or 100.000 by 1.000 matrix that depends o…

[image] JADekker: As such, I’d like to save some computational effort and recycle some work if possible. The thing that comes to mind is to compute pinv(X) and to carry out the regression as pinv(X)*y^k. I was wondering if this is the way to go here, or if there is a better approach that I’m mis…

Repeated linear least squares problem with large dimensions

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stevengj Split this topic June 19, 2025, 9:24pm 8

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Repeated linear least squares problem with large dimensions

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