On 11 May 2004, Peter Dalgaard wrote: > "Liaw, Andy" <[EMAIL PROTECTED]> writes: > > > I tried the following on an Opteron 248, R-1.9.0 w/Goto's BLAS: > > > > > y <- matrix(rnorm(14000*1344), 1344) > > > x <- matrix(runif(1344*503),1344) > > > system.time(fit <- lm(y~x)) > > [1] 106.00 55.60 265.32 0.00 0.00 > > > > The resulting fit object is over 600MB. (The coefficient compoent is a 504 > > x 14000 matrix.) > > > > If I'm not mistaken, SAS sweeps on the extended cross product matrix to fit > > regression models. That, I believe, in usually faster than doing QR > > decomposition on the model matrix itself, but there are trade-offs.
Roughly twice as fast but the price is accuracy. > You > > could try what Prof. Bates suggested. > > Hmm. Shouldn't be all that much faster, but it will produce the Type I > SS as you go along, whereas R probably wants to fit the 15 different > models. Nope, R can read off the Type I SSQs from the QR decomposition so only one fit is done. (Effectively you remove the effect of one column at a time, and you get the change in residual/regression SSq as a side effect. Take a look at anova.lm, which just aggregates squared effects over terms.) > I'm still surprised that R/S-PLUS manages to use a full 15 minutes on > a single response variable. It might be due to the singularities -- > the SAS code indicated that there was a nesting issue with the "A" > factor in the last 4-factor interaction. If so, a reformulation of the > model might help. I think we need to understand this better. My guess (but only a guess) is that the model matrix has very many columns and is highly singular. If the singularity is by design, a reformulation will help. -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html