ldr (version 1.3.3)

projection: Projection operator

Description

Compute a projection operator given the necessary arguments.

Usage

projection(alpha, Sigma)

Arguments

alpha

A semi-orthogonal matrix with p rows and d columns, $d \leq p$.

Sigma

A full rank $p \times p$ square matrix.

Details

The projection operator is obtained as $\alpha (\alpha^T \Sigma \alpha)^{-1}\alpha^T \Sigma$.