[R] Question about multiple regression

[Adam D. I. Kramer]

Hi Dimitri,

On Mon, 8 Sep 2008, Dimitri Liakhovitski 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?

You almost certainly want the LAPACK fortran libraries, avail at
http://www.netlib.org/lapack/

...the function of interest to you is probably called
"dgels":

http://www.netlib.org/lapack/explore-html/dgels.f.html

...of course, this runs faster if you have a fast BLAS library installed.
These exist in many forms, and may already be installed on your system.

--Adam

> 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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