update_beta_qr {L2E}

Beta update in L2E multivariate regression - PG

Description

update_beta_qr updates beta for L2E multivariate regression via a QR solve

Usage

update_beta_qr(y, X, QRF, tau, b, max_iter = 100, tol = 1e-04)

Arguments

y

Response vector

X

Design matrix

QRF

QR factorization object for X (obtained via 'QRF=qr(X)')

tau

Current estimate for tau

b

Current estimate for beta

max_iter

Maximum number of iterations

tol

Relative tolerance

Value

Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized