最小但快速的加权-最小二乘回归

Question

I know that similar questions have been asked in the past but mine has to do with weighted regression in which only the coefficients are needed. The computation should be as fast as possible. I know that ls.fit and some Rcpp package functions are options here. What is the consensus on the fastest, most minimal way to carry out weighted regressions though?

Answer 1

First, work out the linear algebra to get just the terms you need (a problem outside the scope of this site; try stats.stackexchange.com if you need help). Then run that calculation in a speedy fashion. Depending on what that calculatin looks like, your approach will vary.

Likely ways to speed things up:

• Install an optimized BLAS
• Buy a cluster and use parallel computing
• Buy a graphics card and use gpu-tools