Last active
May 24, 2016 14:29
-
-
Save bquast/7b4b0def086bc6beab483d9968a19e31 to your computer and use it in GitHub Desktop.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| #### OLS by hand | |
| solve(qr.R(qr(freeny.x)))%*%t(qr.Q(qr(freeny.x)))%*%freeny.y | |
| QR1<- qr(freeny.x) | |
| solve(qr.R(QR1))%*%t(qr.Q(QR1))%*%freeny.y | |
| solve(qr.R(QR1))%*%crossprod(qr.Q(QR1),freeny.y) | |
| backsolve(qr.R(QR1),crossprod(qr.Q(QR1),freeny.y)) | |
| coef(lm(freeny.y~freeny.x -1)) | |
| library(rbenchmark) | |
| benchmark(solve(qr.R(QR1))%*%t(qr.Q(QR1))%*%freeny.y, | |
| solve(qr.R(QR1))%*%crossprod(qr.Q(QR1),freeny.y), | |
| backsolve(qr.R(QR1),crossprod(qr.Q(QR1),freeny.y)), | |
| replications=1000) | |
| method_1 <- function(X,y) solve(crossprod(X))%*%crossprod(X,y) | |
| method_2 <- function(X,y) { | |
| QR1<- qr(X) | |
| backsolve(qr.R(QR1),crossprod(qr.Q(QR1),y)) | |
| } | |
| all.equal(method_1(freeny.x, freeny.y),method_2(freeny.x, freeny.y), | |
| check.attributes=FALSE) | |
| benchmark(method_1(freeny.x, freeny.y), | |
| method_2(freeny.x, freeny.y), | |
| replications=1000) |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment