saving estimated covariance matrices?

[YSanchezAraujo]

Hi all,

Apologies if this is somehow already possible, or has already been addressed. In solving a system Ax=b, it's usually of interest having error bars for the estimated x. Implementing this naively is straight forward but can end up taking a lot of compute time when the matrix A has many columns. Wondering if there's already builtin functionality to save the quantity inv(A'A) ? I'm assuming the algorithms used here don't actually perform that computation but estimate it somehow.

[ChrisRackauckas]

You'd just do a QR and cache the QR.

[YSanchezAraujo]

ah ok thanks!