Sensitivity of Leverage Scores and Coherence for Randomized Matrix Algorithms
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چکیده
Leverage Scores. Statistical leverage scores were introduced in 1978 by Hoaglin and Welsch [8] to detect outliers when computing regression diagnostics, see also [3, 12]. To be specific, consider the least squares problem minx ‖Ax− b‖2, where A is a real m× n matrix with rank(A) = n. The so-called hat matrix H ≡ A(AA)A is the orthogonal projector onto range(A), and determines the fit b̂ ≡ Hb. The diagonal elements of the hat matrix are called leverage scores of A,
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تاریخ انتشار 2013