Symmetric Sweep Operator
Author joshday
11 Stars
Updated Last
9 Months Ago
Started In
August 2016


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The symmetric sweep operator is a powerful tool in computational statistics with uses in stepwise regression, conditional multivariate normal distributions, MANOVA, and more. This package exports a single function:


sweep!(A, k ; inv=false)
sweep!(A, ks; inv=false)

Perform the sweep operation (or inverse sweep if inv=true) on symmetric matrix A on element k (or each element in ks). Only the upper triangle is read/swept.


x = randn(100, 10)
xtx = x'x
sweep!(xtx, 1)
sweep!(xtx, 1, true)

Details on Symmetric Sweeping:

Thank you to great notes provided by @Hua-Zhou

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