refitting lm() with same x, different y
William, As a first shot, use lm with a matrix response. That fits them all at once with one QR-decomposition. No analogue for glm or lmer, though, since for those the iterative fits run do depend on the response. Brian
On Mon, 18 Apr 2005, William Valdar wrote:
Dear All, Is there is a fast way of refitting lm() when the design matrix stays constant but the response is different? For example, y1 ~ X y2 ~ X y3 ~ X ...etc. where y1 is the 1st instance of the response vector. Calling lm() every time seems rather wasteful since the QR-decomposition of X needs to be calculated only once. It would be nice if qr() was called only once and then the same QR-factorization used in all subsequent fits. However, I can't see a way to do this easily. Can anybody else? Why do I want to do this? I'm fitting ~1000 different X's to a response vector (for biologists: 1000 genetic markers to a measured phenotype with 2000 cases) and wish to establish global significance thresholds for multiple testing. The fits have a complex dependency structure that makes the Bonferroni correction inappropriate. So I intend to refit all ~1000 X's with a shuffled response many times. However, this runs too slow for my needs. Of course, not having to redo QR will only help if QR is a rate limiting step in lm(), so if anybody can tell me it's not, then that would be very helpful too. I would also like to do this for glm() and lmer() fits. Ideally.
Brian D. Ripley, ripley at stats.ox.ac.uk 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