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The symmetric sweep operator (a.k.a. principal pivot transform) 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)Thank you to great notes provided by @Hua-Zhou
