Added material to slides
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@@ -1590,9 +1590,14 @@ def SVDinv(A):
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numpy and scipy.linalg at the cost of being slower.
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'''
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U, s, VT = np.linalg.svd(A)
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# print('test U')
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# print( (np.transpose(U) @ U - U @np.transpose(U)))
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# print('test VT')
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# print( (np.transpose(VT) @ VT - VT @np.transpose(VT)))
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print(U)
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print(s)
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print(VT)
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D = np.zeros((len(U),len(VT)))
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for i in range(0,len(VT)):
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D[i,i]=s[i]
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@@ -1652,7 +1657,7 @@ We have our design matrix
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with $\bm{U}\in {\mathbb{R}}^{n\times n}$, $\bm{\Sigma}\in {\mathbb{R}}^{n\times p}$
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and $\bm{V}\in {\mathbb{R}}^{p\times p}$.
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We have $\bm{U}^T\bm{U}=\bm{I}$ and $\bm{V}^T\bm{V}=\bm{V}\bm{V}^T=\bm{I}$.
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The matrices $\bm{U}$ and $\bm{V}$ are unitary/orthonormal matrices, that is in case the matrices are real we have $\bm{U}^T\bm{U}=\bm{U}\bm{U}^T=\bm{I}$ and $\bm{V}^T\bm{V}=\bm{V}\bm{V}^T=\bm{I}$.
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!split
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===== Spectral Decomposition of the OLS =====
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