29 lines
840 B
C++
29 lines
840 B
C++
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// [[Rcpp::depends(RcppArmadillo)]]
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#include <RcppArmadillo.h>
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using namespace Rcpp;
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// [[Rcpp::export]]
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List fastLm(NumericVector yr, NumericMatrix Xr) {
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int n = Xr.nrow(), k = Xr.ncol();
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arma::mat X(Xr.begin(), n, k, false); // reuses memory and avoids extra copy
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arma::colvec y(yr.begin(), yr.size(), false);
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arma::colvec coef = arma::solve(X, y); // fit model y ~ X
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arma::colvec resid = y - X*coef; // residuals
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double sig2 = arma::as_scalar( arma::trans(resid)*resid/(n-k) );
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// std.error of estimate
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arma::colvec stderrest = arma::sqrt(
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sig2 * arma::diagvec( arma::inv(arma::trans(X)*X)) );
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return List::create(Named("coefficients") = coef,
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Named("stderr") = stderrest
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);
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}
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