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2013 Feb 26
2
Efficient way to perform linear regressions
...trix( NA, nrow = 10^4, ncol = 200) for (i in 1:10^4) { M[i,] = sample(c(0,1), size=200, replace = T) } X = cbind( rnorm(200,1,10) ,1:200, sample(1:10^5,200,T)) Y = rnorm(200) # loop version resu1=matrix(NA,nrow=10^4, ncol=2) resu2=matrix(NA,nrow=10^4, ncol=2) resu3=matrix(NA,nrow=10^4, ncol=2) resu4=matrix(NA,nrow=10^4, ncol=2) t1 = proc.time() for (i in 1:10^4) { fit.ls = lsfit( x = X[M[i,],], y = Y[M[i,]], intercept=F) resu1[i,] = c( fit.ls$coeff[2], sum((fit.ls$res)^2)) } t2 = proc.time() for (i in 1:10^4) { hatM = t(X[M[i,],])%*%X[M[i,],] try( beta <- ( solve( hatM ) %*% t( X[M[i,...