TomMaullin / BLM

This repository contains all code for the python implementation of distributed OLS for locally stored data.
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Solve #49

Closed TomMaullin closed 5 years ago

TomMaullin commented 5 years ago

This PR uses Solve to replace matrix inversion when calculating \hat{\beta}.

Note: Cov(\hat{\beta}) is still calculated using blm_inverse as this was just a simple case of an inverse matrix multiplied by a constant and couldn't be improved with solve. Similarly c'(X'X)^(-1)c is also computed using blm_inverse as there is no restriction on c to be full rank.