List fastLm(Rcpp::NumericMatrix Xs, Rcpp::NumericVector ys, int type) {
const Map<MatrixXd> X(as<Map<MatrixXd> >(Xs));
const Map<VectorXd> y(as<Map<VectorXd> >(ys));
Index n = X.rows();
if ((Index)y.size() != n) throw invalid_argument("size mismatch");
// Select and apply the least squares method
lm ans(do_lm(X, y, type));
// Copy coefficients and install names, if any
NumericVector coef(wrap(ans.coef()));
List dimnames(NumericMatrix(Xs).attr("dimnames"));
if (dimnames.size() > 1) {
RObject colnames = dimnames[1];
if (!(colnames).isNULL())
coef.attr("names") = clone(CharacterVector(colnames));
}
VectorXd resid = y - ans.fitted();
int rank = ans.rank();
int df = (rank == ::NA_INTEGER) ? n - X.cols() : n - rank;
double s = resid.norm() / std::sqrt(double(df));
// Create the standard errors
VectorXd se = s * ans.se();
return List::create(_["coefficients"] = coef,
_["se"] = se,
_["rank"] = rank,
_["df.residual"] = df,
_["residuals"] = resid,
_["s"] = s,
_["fitted.values"] = ans.fitted());
}
extern "C" SEXP fastLm(SEXP Xs, SEXP ys, SEXP type) {
try {
const Map<MatrixXd> X(as<Map<MatrixXd> >(Xs));
const Map<VectorXd> y(as<Map<VectorXd> >(ys));
Index n = X.rows();
if ((Index)y.size() != n) throw invalid_argument("size mismatch");
// Select and apply the least squares method
lm ans(do_lm(X, y, ::Rf_asInteger(type)));
// Copy coefficients and install names, if any
NumericVector coef(wrap(ans.coef()));
List dimnames(NumericMatrix(Xs).attr("dimnames"));
if (dimnames.size() > 1) {
RObject colnames = dimnames[1];
if (!(colnames).isNULL())
coef.attr("names") = clone(CharacterVector(colnames));
}
VectorXd resid = y - ans.fitted();
int rank = ans.rank();
int df = (rank == ::NA_INTEGER) ? n - X.cols() : n - rank;
double s = resid.norm() / std::sqrt(double(df));
// Create the standard errors
VectorXd se = s * ans.se();
return List::create(_["coefficients"] = coef,
_["se"] = se,
_["rank"] = rank,
_["df.residual"] = df,
_["residuals"] = resid,
_["s"] = s,
_["fitted.values"] = ans.fitted());
} catch( std::exception &ex ) {
forward_exception_to_r( ex );
} catch(...) {
::Rf_error( "c++ exception (unknown reason)" );
}
return R_NilValue; // -Wall
}
