For the $n\times p$ matrix $\mathbf{X}$, is there any use in approximating $(\mathbf{X}'\mathbf{X})^{-1}$ when $p>>n$? If so, what information might this tell us?
I understand when $p
For the $n\times p$ matrix $\mathbf{X}$, is there any use in approximating $(\mathbf{X}'\mathbf{X})^{-1}$ when $p>>n$? If so, what information might this tell us?
I understand when $p
), and therefore, $X^tX$ has at most rank $n$ (and therefore, isn't full rank). So, you have to be a bit more clear about what you mean by inverting this matrix, to begin with.
– 2012-11-17