[R] Performing regression using R & C
jimmcloughlin at earthlink.net
Fri Nov 19 19:21:50 CET 2004
> Is it possible to perform OLS using C code? I am trying to
> optimize a n-period "moving window" OLS on a huge dataset hence was
> wondering if such a thing is possible.
> Ideally the solution that I am looking for would involve a
> C-code accepting two float arrays and returning back computed
> such as t-stat, coefficient etc.
It is probably not worth trying to call R to do OLS from C. I would
look at GSL:
GSL has a simple but elegant C interface for doing OLS and weighted
least squares. It will give you the covariance matrix of the model
parameters, from which you can derive t-stats.
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