A test of the numerical accuracy of some matrix inversion algorithms commonly used in least squares programs
John Deegan · Journal of Statistical Computation and Simulation · 1976
In recent years a number of investigations of the accuracy of least squares programs found gross numerical inaccuracies in many programs. Apparently those programs employing elimination algorithms for matrix inversion fared the poorest. Our findings do not support this conclusion. Our findings demonstrate that elimination algorithms, when used for solving least squares problems, are not intrinsically unstable. A brief discussion of an appropriate strategy to follow for estimating least squares coefficients is included.