[R] Which columns give rise to linear dependency?

Ott Toomet otoomet at econ.dk
Tue Nov 5 17:54:34 CET 2002


 | From: "Michael Dewey" <Michael.Dewey at nottingham.ac.uk>
 | Short version
 | If I have a data frame X and I suspect
 | that there is a dependency between
 | the columns how do I confirm that,
 | and how do I tell which subset of columns
 | is involved?

In similar cases I have used condition number of the matrix (it is
basically square root of the ratio of largest and smallest eigenvalue
of a matrix, e.g. X'X where X is your dataframe (normalized)).  I am
adding the data columns one-by-one and watching what happens with the
condition number.  The normal number is around 20.

In R, condition number is estimated by kappa()

Perhaps it helps.


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