[R] How to project a vector on a subspace?

[peter dalgaard]

On Sep 8, 2010, at 15:22 , Gabor Grothendieck wrote:

> On Wed, Sep 8, 2010 at 2:52 AM, James <vuda.it at gmail.com> wrote:
>> 
>> Hi experts,
>> 
>> I have a subspace represented as matrix of basic vectors and I want to
>> project a vector on that subspace. Does R have any function that help me to
>> do so?
>> 
> 
> The projection of vector y onto the space spanned by the columns of X
> is fitted(lm.fit(X, y)) .
> Although not numerically optimal it can also be written:
> X %*% solve(crossprod(X, X), crossprod(X, y))

Perhaps qr.fitted(qr(X),y) is slightly faster than fitted(lm.fit(X,y)). Looks like it might be bypassing some "red tape", and otherwise do the same. 

-- 
Peter Dalgaard
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com