Via the eigen package
Examples
n = 100
p = 10
X = matrix(rnorm(n * p), nrow = n, ncol = p)
w = rnorm(p)
eigen_Xt_times_diag_w_times_X(t(X), w)
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] -2.4548596 -0.11439983 -0.53640103 0.368977727 5.101597078 1.07910239
#> [2,] -0.1143998 -2.20340098 0.22863494 1.992468787 -3.780534887 -2.13202148
#> [3,] -0.5364010 0.22863494 -5.21566233 -1.080084005 -1.792748079 0.44353612
#> [4,] 0.3689777 1.99246879 -1.08008401 -1.761954545 2.193395674 0.80033990
#> [5,] 5.1015971 -3.78053489 -1.79274808 2.193395674 -0.590012037 -3.37017067
#> [6,] 1.0791024 -2.13202148 0.44353612 0.800339895 -3.370170667 -1.90069762
#> [7,] -1.5215851 0.61382247 -1.16520692 -2.227418610 2.904245989 2.07050791
#> [8,] -7.7569757 4.63388164 0.26907928 -7.628031735 4.019843918 5.86910031
#> [9,] 2.2255353 -0.54477792 -4.70038316 -1.540108236 2.705747402 0.11218647
#> [10,] 2.0212359 -2.05785808 -0.54645203 4.327000641 -5.647252104 -2.98583460
#> [11,] -1.1508580 -1.08983985 -0.87300883 1.295125929 2.419815386 0.54856106
#> [12,] 5.3514075 -4.84500528 -0.81111951 3.823263521 1.081594559 -3.76763248
#> [13,] 6.9118033 -1.04625882 -0.29001970 1.484615807 -2.969659787 -4.03795844
#> [14,] -1.6910870 -2.77577732 1.96420614 2.201686264 0.765818969 0.20255336
#> [15,] -0.4083594 1.44873927 0.76870977 -1.194340661 2.112468311 0.67161449
#> [16,] -3.0649231 1.85213104 -0.76959116 -0.462511597 2.376674615 2.54310781
#> [17,] -3.7843592 3.26079180 0.59829014 -4.508714633 -0.972179759 2.99756686
#> [18,] 1.7995619 -1.42609497 -1.20317385 0.898403203 -5.153413050 -1.71838280
#> [19,] -2.4693013 -0.95411508 3.67027515 0.626998587 3.441249588 0.89842386
#> [20,] -1.5106645 1.18923278 1.05531700 -2.190296402 -1.272539703 1.30821223
#> [21,] 5.2891240 0.79894986 -1.35007754 2.341029543 3.389640179 -1.54191864
#> [22,] 4.2665048 -1.73773204 -1.27142060 1.359770631 -0.009433344 -2.74066768
#> [23,] 1.0004754 1.80989775 -3.56553525 -1.016991593 2.896271785 0.71144255
#> [24,] 0.4906687 -1.12229484 -1.49659643 0.970735877 -1.529984247 -1.07214498
#> [25,] 6.9490670 -0.92478566 -4.37804317 -0.476569250 -5.247715948 -2.98993720
#> [26,] -3.7119294 0.52020756 3.49786728 0.235595904 -0.639761760 1.28574233
#> [27,] 4.0117830 -0.33203424 -3.07181375 1.875178005 -0.832575307 -1.73111205
#> [28,] 5.8049805 0.57180940 -4.05699962 1.387999359 -4.439082557 -2.55907369
#> [29,] -4.5994423 3.80697511 1.39834678 -3.669432566 -2.678870786 3.71014612
#> [30,] -1.8358737 1.82637652 -0.57676784 -1.627805492 3.990307676 2.66739418
#> [31,] 1.5270981 1.30711671 -1.00262871 -1.321107261 -0.295939889 -0.47749238
#> [32,] 3.7547860 -5.67850448 1.61474658 5.179838591 1.561242167 -3.54706108
#> [33,] 1.3256622 2.15213254 -0.51824011 -2.143720745 -0.861184464 0.09977509
#> [34,] -4.6715022 0.26978642 3.55419742 -2.778332106 3.486845148 2.57660227
#> [35,] -0.4528493 -0.99268802 -2.77481048 0.352900599 -1.225861343 -0.71621616
#> [36,] 2.2295617 -0.06721478 -3.36658328 -0.796156507 0.763368770 -0.33974722
#> [37,] 0.2457107 -2.50761672 -1.30231386 2.277561900 -0.232249268 -0.25875416
#> [38,] -1.4908099 -1.09918815 1.03841149 1.163527623 -2.182887355 -0.27930788
#> [39,] 5.2995989 -0.90323873 -1.89928801 2.629508376 -0.164035402 -3.10318935
#> [40,] 5.7719841 -2.98803148 -2.09144496 1.242536297 -1.295738134 -3.27903680
#> [41,] 3.5200372 -2.48906804 -0.66105628 1.767519353 -1.063213097 -1.92040585
#> [42,] 0.2492547 4.18352097 -2.87121796 -3.837640823 -1.353917755 1.41585839
#> [43,] -1.0935948 0.84057652 0.58366190 -0.497889701 -3.810293638 0.74273095
#> [44,] -5.6024269 1.11091665 2.56908572 -0.143877684 -2.516761260 2.49768772
#> [45,] 0.8564033 -2.69798743 2.85217335 2.398324224 3.388698502 -1.21385080
#> [46,] 4.0673340 2.55291433 -0.88039364 -1.097105492 -3.193987789 -1.58803700
#> [47,] 0.2933861 -1.76510082 -1.47480228 0.735904578 -3.488388548 -1.57462030
#> [48,] 5.1952247 -2.90208025 -0.57743817 3.101529517 -1.266118423 -3.48792448
#> [49,] -1.9974421 0.41368056 0.41695076 -1.200511559 2.733354399 0.94828661
#> [50,] -4.4343044 3.23322812 -0.66097713 -3.011006327 0.271004039 3.66295717
#> [51,] -2.9565833 0.54399243 3.71564426 -0.916595551 4.722495425 1.87096849
#> [52,] 0.4672625 -0.69926050 0.47421977 0.542200367 1.177263583 -0.54822612
#> [53,] 1.0435597 -2.19949142 -3.09164835 0.033266208 0.551631159 -0.85705822
#> [54,] 3.8332990 -1.14765443 -4.59510754 -0.823874187 -2.744088197 -2.10895839
#> [55,] -0.6437757 3.36337503 -2.15228114 -2.498729847 -2.116957745 1.36371201
#> [56,] 2.7527276 -0.21542575 -3.38346119 -0.484268713 -3.914530981 -1.37291017
#> [57,] -4.8409528 -0.45321315 -1.28791619 -0.938640677 -0.169206624 1.72733091
#> [58,] 8.5589665 -0.27767608 -1.79783626 0.133287406 -0.749199046 -3.84194447
#> [59,] -4.6503701 0.27959009 2.48269403 -1.603169590 4.009952768 2.83776300
#> [60,] 1.1178614 -0.47960667 1.16932999 2.290413474 -2.517662976 -1.74148150
#> [61,] -1.9396973 0.76300093 2.30857346 -1.572161225 1.281517910 1.31052666
#> [62,] -1.2197976 1.08075019 -2.06394874 -1.505048532 1.936664311 1.84005604
#> [63,] -7.9023795 3.13327801 2.21027390 -5.048539887 1.394430830 3.89222954
#> [64,] 2.9542234 0.94626177 -2.79923111 -2.074535035 -1.645798165 -0.46331768
#> [65,] -2.7636182 0.04191783 -0.36451715 -0.872155770 -2.960043685 1.01072548
#> [66,] 0.8854411 0.16684344 -2.28884940 -1.122124175 2.000335428 0.91147207
#> [67,] -1.1822887 0.01023060 3.23592068 1.756900570 -4.841677727 -0.60205385
#> [68,] -2.6127099 -1.08339498 1.63817501 0.573257251 1.092261844 0.83297726
#> [69,] -2.5200571 2.06116257 -0.51179389 -3.068334492 2.532017973 2.04133877
#> [70,] 0.4346007 0.15828123 -1.11921726 1.584938376 1.783332255 -0.34120408
#> [71,] 3.7194355 -0.60531851 -1.69341348 1.007675270 -1.710876974 -1.52146998
#> [72,] 3.3995495 -4.45254649 0.01603028 3.230233002 0.776686314 -3.31267204
#> [73,] -0.5733899 -0.77785927 2.48608371 1.437776671 -1.671758530 -0.23148360
#> [74,] 2.6189812 -3.08725868 -0.90594235 3.743595640 -4.105133336 -2.88340647
#> [75,] 2.1289668 -1.93339364 0.39032449 1.501109981 -2.596555746 -1.92753277
#> [76,] 1.2550145 3.89612419 -1.31318079 -1.470551062 -3.544256217 0.85978961
#> [77,] 3.4251633 1.73231161 -0.25149006 -0.434764939 -4.342319136 -0.97440532
#> [78,] -2.3884717 0.19139097 0.50036923 -0.009354535 -2.460496154 0.16114037
#> [79,] -2.7936143 0.42254391 0.98598958 -1.292230743 -0.742114534 0.71373172
#> [80,] 1.3202681 0.54527487 -3.16263178 -0.690703492 -1.622578555 0.07308381
#> [81,] 4.3444587 0.04556665 -0.04218432 0.711026193 -2.717095542 -2.53386948
#> [82,] -0.6370091 -1.68614416 1.75695397 -0.505198978 2.094110348 -0.32640816
#> [83,] -1.6130144 0.99494289 1.42801306 -0.864453073 -1.281556957 0.07025130
#> [84,] 1.5224356 1.12594141 1.62007036 0.218525079 2.037583035 0.09358495
#> [85,] -7.2467127 2.75016393 1.27331019 -3.916376914 2.269152309 4.12503149
#> [86,] 3.3285926 0.71944859 0.28156108 1.762903375 -1.638134187 -1.30914275
#> [87,] -3.6288457 0.37252474 -1.31452374 -0.875414988 3.115950588 2.42034102
#> [88,] 1.1365838 1.43977566 0.56938653 -1.904201928 1.798215307 0.74639712
#> [89,] -3.7749834 3.22266977 4.09568241 -1.288439952 2.103779975 2.83483329
#> [90,] 0.9794887 -1.56847671 -3.40784042 1.196832211 -3.080733576 -1.13426993
#> [91,] -0.5865996 -0.86874629 0.23398734 0.585071084 2.123675930 0.41486188
#> [92,] 2.5808133 0.06837383 -2.20981622 -0.040950124 -0.026571346 -1.12578126
#> [93,] 1.6157840 1.86414719 -1.99601651 -2.566175468 -0.410529590 0.59968878
#> [94,] 4.0705213 -2.32471018 -2.08605475 3.963351940 -2.880607231 -3.23817740
#> [95,] -0.9513300 2.35889879 0.31787289 -0.351782516 -2.964847177 1.09669481
#> [96,] -1.3887171 1.52176449 -1.09530054 -4.388007700 0.394330582 1.73251532
#> [97,] -2.8484879 -2.92574717 0.31185215 1.675158739 0.582010843 0.57074961
#> [98,] -3.4598618 3.25305801 0.52734753 -3.794297230 -1.202327198 2.47393585
#> [99,] -1.0915344 0.68650206 1.15201603 -0.017301007 -0.912448535 0.57827189
#> [100,] -4.9315555 3.85001160 3.03689040 -1.962414764 -1.486170760 2.67825313
#> [,7] [,8] [,9] [,10] [,11] [,12]
#> [1,] -1.521585059 -7.75697572 2.22553534 2.0212359 -1.15085799 5.351407511
#> [2,] 0.613822471 4.63388164 -0.54477792 -2.0578581 -1.08983985 -4.845005276
#> [3,] -1.165206924 0.26907928 -4.70038316 -0.5464520 -0.87300883 -0.811119505
#> [4,] -2.227418610 -7.62803173 -1.54010824 4.3270006 1.29512593 3.823263521
#> [5,] 2.904245989 4.01984392 2.70574740 -5.6472521 2.41981539 1.081594559
#> [6,] 2.070507908 5.86910031 0.11218647 -2.9858346 0.54856106 -3.767632479
#> [7,] -1.788897398 -2.59108933 0.72545180 0.6904183 2.19519266 1.040090505
#> [8,] -2.591089335 -7.62046991 -3.66925389 6.8908335 1.06061951 0.109652434
#> [9,] 0.725451802 -3.66925389 -4.10023668 -1.9904433 1.55800940 2.406721966
#> [10,] 0.690418260 6.89083347 -1.99044325 -3.3589465 -3.21870490 -5.222241256
#> [11,] 2.195192659 1.06061951 1.55800940 -3.2187049 -3.52733584 1.675944719
#> [12,] 1.040090505 0.10965243 2.40672197 -5.2222413 1.67594472 -0.998533386
#> [13,] -0.276316185 -2.97753037 -0.49581792 1.8287228 4.29249780 3.890675103
#> [14,] 1.748444621 9.04675444 6.25730405 -6.3386590 -0.67120947 -4.242955928
#> [15,] -1.661662294 -7.24185729 0.01507265 4.5316632 1.20460859 4.530367727
#> [16,] -0.714131197 -1.73437123 -0.60440535 0.9343330 -2.60160861 2.526870763
#> [17,] -2.477226373 -0.66565342 -3.03925775 4.3066071 2.12952559 -2.976099415
#> [18,] 1.279701470 7.51804541 -1.02375030 -3.0781636 -0.46787254 -4.572161507
#> [19,] 1.723203773 1.95756940 5.69615205 -1.9915769 -0.33389403 0.029024025
#> [20,] -2.287046283 0.65008827 -0.27108577 2.3410517 3.30363157 -1.977801374
#> [21,] -0.744091000 -8.55540770 -0.03510143 1.9846566 0.40417070 8.974999459
#> [22,] -0.558937673 -3.90175823 0.52158414 0.4363380 3.59591515 4.355943458
#> [23,] -2.774277636 -9.44508170 -3.85030975 3.7060887 0.95812372 5.849365677
#> [24,] 1.883918248 2.70143122 -3.16081116 -2.7584569 -2.10208501 -2.672567903
#> [25,] 2.785968089 5.05553636 -6.44972286 -3.6682313 2.43857765 -1.884484230
#> [26,] -0.002478458 2.81532322 3.03788639 0.9290540 -2.18567002 -2.050835886
#> [27,] -0.802455141 -2.03620215 -1.81825270 -0.3149415 0.13957768 3.198305587
#> [28,] 1.180240692 1.87242231 -2.86163130 -0.4721304 -0.37393544 4.419588648
#> [29,] -0.810164997 4.41530550 -1.07209736 2.9279568 -1.64595056 -3.295963337
#> [30,] -0.925520052 -2.90107258 1.23262222 0.9737000 -0.08586643 3.133791296
#> [31,] -1.072306150 -5.93957137 -1.73611172 4.1600750 1.15766610 4.129437235
#> [32,] 2.746454099 5.98251883 6.44576956 -8.2358988 1.75993850 -1.707257093
#> [33,] -2.455207899 -5.97278262 -1.61474216 5.6294524 3.16515354 4.354800402
#> [34,] 1.619348987 0.71083593 2.58641829 -0.3435196 -0.13108903 -3.068801973
#> [35,] 1.183929789 0.74172092 -3.85826796 -1.8255156 -2.67237955 -2.069065707
#> [36,] -0.029547544 -3.17759183 -3.51652909 -0.3068282 1.09559416 2.235338348
#> [37,] 1.564908493 7.49410264 2.12182275 -6.5504131 -2.06930865 -3.894823323
#> [38,] 1.188690483 5.32101757 1.48110639 -2.0355865 -1.96697841 -2.787425832
#> [39,] -2.219848797 -6.88323782 -0.36788380 2.3053543 2.42281485 6.089047672
#> [40,] 1.824336541 3.43550623 -1.03628864 -4.9327529 4.14222765 -1.758874762
#> [41,] 1.228572468 5.71681000 0.48364477 -5.3496400 1.82097185 -4.370340435
#> [42,] -4.065172237 -9.02234796 -5.37838802 8.3243603 1.70699957 4.798440607
#> [43,] 0.607386372 7.76215218 -3.09703004 -1.9467641 -0.95436884 -6.957939585
#> [44,] 2.046925873 9.05547823 0.02875060 -2.0105116 -5.80406026 -6.403434339
#> [45,] 1.247048043 1.26468501 5.94530424 -3.4341839 2.08670963 0.514530522
#> [46,] -0.271446864 -5.36750770 -5.50383064 5.3384630 1.10893278 4.334909163
#> [47,] 1.513766294 5.11951186 -1.37200955 -2.7528778 -0.70347195 -3.255659060
#> [48,] 0.880516428 1.73726746 1.20719049 -3.2507040 2.26029795 0.354880734
#> [49,] -1.604001744 -6.97103240 0.51508433 3.4495271 -0.12755436 2.383068049
#> [50,] -1.393003473 0.46725782 -2.23447763 2.3300652 -1.11345450 -0.316296186
#> [51,] 0.301662216 -3.49730646 4.46405729 1.5994143 0.21243204 2.620075138
#> [52,] -0.266599165 -1.54914016 2.45167511 0.2888440 1.55845426 2.630554464
#> [53,] 1.075662590 1.15733026 -2.53532695 -3.9846802 0.31381903 -2.894992225
#> [54,] 0.263524751 0.04736751 -4.64936834 -1.2257276 3.05579397 0.287557271
#> [55,] -1.550923782 -3.49677967 -6.42013617 4.5244068 -1.10047103 1.011569541
#> [56,] 2.157323839 4.88613441 -4.81017835 -2.6716864 0.43638060 -1.411978979
#> [57,] -0.569260901 2.43697628 -0.89114601 -1.1052414 -1.55996724 -3.002353455
#> [58,] -0.384076851 -7.90068865 -1.65835475 3.2017817 5.62699169 7.573247064
#> [59,] -0.275744016 0.15376620 1.72146490 -0.7354992 -0.07595677 -3.420472630
#> [60,] -0.244881381 1.43643373 0.85697449 0.5029303 -0.57182002 0.004060839
#> [61,] -0.213878654 -1.87072941 1.57268825 2.0195324 -0.39953284 -0.810242273
#> [62,] 0.841810039 0.21408372 -2.45983363 -1.3882406 -1.12378922 0.216550254
#> [63,] -0.017875241 -3.45272139 -1.58704555 5.4382991 -1.44605181 0.071981957
#> [64,] -1.767436560 -1.73617444 -4.24193380 1.4500996 4.22024518 -0.218956769
#> [65,] 1.658271002 7.90890611 1.42679009 -2.1504659 -1.81655533 -2.495099454
#> [66,] 0.642750611 -0.37302804 0.51999357 -1.4639376 0.74960198 2.890776764
#> [67,] 1.571106425 7.79600975 1.61043822 -0.8487106 -4.00958258 -5.054889427
#> [68,] 2.405368196 5.10332599 2.33843911 -3.6363445 -2.06860830 -2.700160158
#> [69,] -1.253127305 -6.73554071 -2.74957035 4.0144898 0.08365967 1.849948201
#> [70,] -2.129589684 -4.25617699 0.81323410 1.3668658 -0.11311900 3.402934271
#> [71,] -1.316213735 0.08252570 1.48895218 0.1317107 2.90739761 3.393519849
#> [72,] 2.508879071 3.71215292 5.17840778 -5.6826245 2.34111391 0.953109094
#> [73,] 3.380941070 7.98517136 1.42255369 -3.9187488 -2.52567825 -3.700892354
#> [74,] 3.465225401 9.66702082 -0.10753134 -6.6446546 -2.17023822 -3.702239979
#> [75,] 2.311332732 6.12036886 -0.80699208 -4.0635477 0.22377681 -4.280790973
#> [76,] -1.193281100 -1.25997589 -5.96081732 4.1426996 -1.92166102 0.339197439
#> [77,] -2.133571722 -0.40607768 -3.18515579 3.2151575 1.35192701 -1.593375188
#> [78,] 0.322639684 3.03302024 -0.21928775 0.3307802 -2.27300591 -2.572759928
#> [79,] -0.606794907 -0.53176025 -0.45992772 1.9791849 -0.01360499 -1.342252943
#> [80,] 1.543847066 1.96133059 -4.73167547 -1.6433343 -0.67797661 0.734983081
#> [81,] -0.080141609 -2.96296684 -0.76752722 2.6918306 1.24874620 3.187464739
#> [82,] 1.111153479 -1.40623420 2.97800510 -0.5295431 1.66555985 0.632961645
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#> [62,] 1.337434710 0.19915656 1.016869769 -4.19381913 -1.645340357
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