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Issue 27/2012
The CEA states that the primary version is the paper one.
Michał Bernardelli
Metoda szybkiej aktualizacji dekompozycji QR dla modeli liniowej regresji
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Method of QR decomposition’s fast updates for linear regression models
Abstract
In the paper the description of algorithms of solving the linear least square problem with QR decomposition method and their analysis of usefulness to the fast changing panel data, is presented. The classical algorithm of QR decomposition using Householder reflections and the algorithm of fast updates of QR decomposition using Givens rotations are compared. Results of the computer simulation for the data from the foreign exchange market are presented.
Article: PDF
Table of contents of issue 27
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