Beta update in L2E multivariate regression - PG

update_beta_qr updates beta for L2E multivariate regression via a QR solve

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