[R] Question about multiple regression

[Gabor Grothendieck]

I would test the speed before making such as assumption.  Note that
lm.fit is faster than lm and if they have the same x matrix then
you can do many in one call by having y be a matrix.

On Mon, Sep 8, 2008 at 12:05 PM, Dimitri Liakhovitski <ld7631 at gmail.com> wrote:
> Dear R-list,
> maybe some of you could point me in the right direction:
>
> Are you aware of any FREE Fortran or Java libraries/actual pieces of
> code that are VERY efficient (time-wise) in running the regular linear
> least-squares multiple regression?
> More specifically, I have to run small regression models (between 1
> and 15 predictors) on samples of up to N=700 but thousands and
> thousands of them.
>
> I am designing a simulation in R and running those regressions and R
> itself is way too slow. So, I am thinking of compiling the regression
> run itself in Fortran and Java and then calling it from R.
>
> Thank you very much for any advice!
>
> Dimitri Liakhovitski
> MarketTools, Inc.
> Dimitri.Liakhovitski at markettools.com
>
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