very fast OLS regression?

thanks, dimitris.  I also added Bill Dunlap's "solve(qr(x),y)"
function as ols5.   here is what I get in terms of speed on a Mac Pro:

ols1 6.779 3.591 10.37 0 0
ols2 0.515 0.21 0.725 0 0
ols3 0.576 0.403 0.971 0 0
ols4 1.143 1.251 2.395 0 0
ols5 0.683 0.565 1.248 0 0

so the naive matrix operations are fastest.  I would have thought that
alternatives to the naive stuff I learned in my linear algebra course
would be quicker.   still, ols3 and ols5 are competitive.  the
built-in lm() is really problematic.  is ols3 (or perhaps even ols5)
preferable in terms of accuracy?  I think I can deal with 20% speed
slow-down (but not with a factor 10 speed slow-down).

regards,

/iaw


On Wed, Mar 25, 2009 at 5:11 PM, Dimitris Rizopoulos

check the following options:

ols1 <- function (y, x) {
? ?coef(lm(y ~ x - 1))
}

ols2 <- function (y, x) {
? ?xy <- t(x)%*%y
? ?xxi <- solve(t(x)%*%x)
? ?b <- as.vector(xxi%*%xy)
? ?b
}

ols3 <- function (y, x) {
? ?XtX <- crossprod(x)
? ?Xty <- crossprod(x, y)
? ?solve(XtX, Xty)
}

ols4 <- function (y, x) {
? ?lm.fit(x, y)$coefficients
}