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. [EMAIL PROTECTED] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
