[R] Row-by-row regression on matrix

[Chuck Cleland]

murali.menon at uk.abnamro.com wrote:
> Folks,
> 
> I have a 3000 x 4 matrix (y), which I need to regress row-by-row against a 
> 4-vector (x) to create a
> matrix lm.y of intercepts and slopes. To illustrate:
> 
> y <- matrix(rnorm(12000), ncol = 4)
> x <- c(1/12, 3/12, 6/12, 1)
> 
> system.time(lm.y <- t(apply(y, 1, function(z) lm(z ~ x)$coefficient)))
> [1] 44.72 18.00 69.52    NA    NA
> 
> Takes more than a minute to do (and I need to do many similar regressions 
> a day). 
> 
> Is there a more efficient way of handling this?
> 
> I'm running R 2.4.1 on Windows XP Service Pack 2 on a Intel Xeon dual-core 
> 2.66GHz with 3GB RAM.
> 
> Thanks very much,
> 
> Murali

 y <- matrix(rnorm(12000), ncol = 4)
 x <- c(1/12, 3/12, 6/12, 1)

 system.time(lm.y1 <- t(coef(lm(t(y) ~ x))))
   user  system elapsed
   0.03    0.00    0.04

 system.time(lm.y2 <- t(apply(y, 1, function(z) lm(z ~ x)$coefficient)))
   user  system elapsed
  19.70    0.05   20.45

 all.equal(lm.y1, lm.y2)
[1] TRUE

> 
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-- 
Chuck Cleland, Ph.D.
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