Solving The Ordinary Least Squares in Closed Form, Without Inversion or Normalization

01/04/2023

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by   Vered Senderovich Madar, et al.

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Cedars-Sinai

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By connecting the LU factorization and the Gram-Schmidt orthogonalization without any normalization, closed-forms for the coefficients of the ordinary least squares estimates are presented. Instead of using matrix inversion explicitly, each of the coefficients is expressed and computed directly as a linear combination of non-normalized Gram-Schmidt vectors and the original data matrix and also in terms of the upper triangular factor from LU factorization. The coefficients may computed iteratively using backward or forward algorithms given.