[R] help speeding up simple Theil regression function

Brad Schneid bps0002 at auburn.edu
Sun Oct 21 20:06:57 CEST 2012


Hello,

I am working on a simple non-parametric (Theil) regression function and and
am following Hollander and Wolfe 1999 text.  I would like some help making
my function faster.  I have compared with pre-packaged version from "MBLM",
which isnt very fast either, but it appears mine is faster with N = 1000
(see results below).  I plan on running this function repeatedly, and I
generally have data lengths of ~ N = 6000 or more.  

# My function following Hollander and Wolfe text, Chapter 9
np.lm <-function(dat, X, Y, ...){
	# Ch 9.2: Slope est. (X) for Thiel statistic
	combos <- combn(nrow(dat), 2)
	i.s <- combos[1,] 
	j.s <- combos[2,] 
	num <- vector("list", length=length(i.s))
	dom <- vector("list", length=length(i.s))

		for(i in 1:length(i.s)){
			num[[i]]  <- dat[j.s[i],Y] - dat[i.s[i],Y]    
			dom[[i]]  <- dat[j.s[i],X] - dat[i.s[i],X]    
	        	 	}	
	
	X <- median( sort( do.call(c, num) / do.call(c, dom) ) )
	# Ch 9.4: Intercept est. for Thiel statistic
	Intercept <- median(dat[,"Y"] - X*dat[,"X"])
	out <- data.frame(Intercept, X)
	return(out)
		}   # usage: np.lm(dat, X=1, Y=2)
################################################################

library("mblm") # I will compare to mblm() function

X <- rnorm(1000)
Y <- rnorm(1000)
dat <- data.frame(X, Y)

system.time(np.lm(dat, X=1, Y=2) )
   user  system elapsed 
118.610   0.130 119.144 
109.000   0.040 109.416 # ran it twice
 86.190   0.100  86.589 # 3rd time

system.time( mblm(Y~X, dat, repeated=F) )
    user   system  elapsed 
1509.200   87.670 1602.987 
# not waiting on that to run again

OK, mine appears to be way faster... oddly, mblm() seemed faster with
smaller (n=100) datasets

Can someone please tell me how they would improve the np.lm() function to
make it quicker, or faster with some other tricks (parallel?.. Ive never
done that.).

Thank you ahead of time for any help. 
Brad

Ubuntu 10.04
Intel i5 CPU 4*(650 @ 3.20GHz)
11.6 GiB memory
R version 2.15.0 (2012-03-30)




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