Re: simple way to update the inverse of the covariance matrix with each data point
- From: Ken Butler <butler@xxxxxxxxxxxxxxxx>
- Date: Tue, 26 Sep 2006 20:21:35 -0400
On 25 Sep 2006 17:54:21 -0700, "prieditis@xxxxxxxxxxxxxxxxxxxxxx"
<prieditis@xxxxxxxxxxxxxxxxxxxxxx> wrote:
Is there any simple way to update the inverse of the covariance matrix
as each data point is added or deleted? I'm sure this question must
have been asked a billion times as it seems like a basic operation for
any incremental linear regression method. Unfortunately I have not been
able to find the answer anywhere.
The magic words are "Sherman-Morrison-Woodbury formula". This formula
is in Thisted's book "Elements of Statistical Computing", page 117 in
my edition.
Cheers,
Ken.
--
Ken Butler, Lecturer (Statistics)
University of Toronto at Scarborough
butler (at) utsc.utoronto.ca
http://www.utsc.utoronto.ca/~butler
.
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