>>>>> "ReidH" == Huntsinger, Reid <[EMAIL PROTECTED]> >>>>> on Thu, 3 Mar 2005 17:24:22 -0500 writes:
ReidH> You might use lsfit instead and just do the whole Y ReidH> matrix at once. That saves all the recalculation of ReidH> things involving only X. yes, but in these cases, we have been recommending lm.fit() instead -- just so you use the identical internal numeric code as lm() and still have the `benefit' of not having to re-build the design matrix X . Martin Maechler, ETH Zurich ReidH> Reid Huntsinger ReidH> -----Original Message----- From: ReidH> [EMAIL PROTECTED] ReidH> [mailto:[EMAIL PROTECTED] On Behalf ReidH> Of Eduardo Leoni Sent: Thursday, March 03, 2005 5:16 ReidH> PM To: r-help@stat.math.ethz.ch Subject: [R] ReidH> regression on a matrix ReidH> Hi - ReidH> I am doing a monte carlo experiment that requires to ReidH> do a linear regression of a matrix of vectors of ReidH> dependent variables on a fixed set of covariates (one ReidH> regression per vector). I am wondering if anyone has ReidH> any idea of how to speed up the computations in ReidH> R. The code follows: ReidH> #regression function #Linear regression code qreg <- ReidH> function(y,x) { X=cbind(1,x) m<-lm.fit(y=y,x=X) ReidH> p<-m$rank ReidH> r <- m$residuals n <- length(r) rss <- sum(r^2) ReidH> resvar <- rss/(n - p) ReidH> Qr <- m$qr p1 <- 1:p R <- chol2inv(Qr$qr[p1, p1, ReidH> drop = FALSE]) se <- sqrt(diag(R) * resvar) b <- ReidH> m$coefficients return(c(b[2],se[2])) } ReidH> #simulate a <- c(1,.63,.63,1) a <- matrix(a,2,2) c <- ReidH> chol(a) C <- 0.7 theta <- 0.8 sims <- 1000 n<-20 ReidH> u <- rnorm(n,0,sqrt(1-C)) w <- ReidH> rgamma(n,C/theta,1/theta) e <- rnorm(n,0,sqrt(w)) ReidH> x1 <- rnorm(n) x <- x1*c[2,2]+c[1,2]*w v <- e+u y <- ReidH> 1+x+v w <- rgamma(n,C/theta,1/theta) ReidH> #create matrix of dep variable newdep <- ReidH> matrix(rnorm(length(y)*sims,y,sqrt(w)),c(length(y),sims)) ReidH> monte <- apply(newdep,2,qreg,x=x) ReidH> ______________________________________________ ReidH> R-help@stat.math.ethz.ch mailing list ReidH> https://stat.ethz.ch/mailman/listinfo/r-help PLEASE ReidH> do read the posting guide! ReidH> http://www.R-project.org/posting-guide.html ReidH> ______________________________________________ ReidH> R-help@stat.math.ethz.ch mailing list ReidH> https://stat.ethz.ch/mailman/listinfo/r-help PLEASE ReidH> do read the posting guide! ReidH> http://www.R-project.org/posting-guide.html ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html