fastmatrix
Fast Computation of some Matrices Useful in Statistics
Last update: 17 January 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 0.5, 0.2-3, 0.2-35, 0.2-357, 0.2-3571, 0.2, 0.3-8, 0.3-81, 0.3-819, 0.3-8196, 0.3, 0.4-1, 0.4-12, 0.4-124, 0.4-1245, 0.4, 0.5-7, 0.5-77, 0.5-772
Small set of functions to fast computation of some matrices and operations useful in statistics and econometrics. Currently, there are functions for efficient computation of duplication, commutation and symmetrizer matrices with minimal storage requirements. Some commonly used matrix decompositions (LU and LDL), basic matrix operations (for instance, Hadamard, Kronecker products and the Sherman-Morrison formula) and iterative solvers for linear systems are also available. In addition, the package includes a number of common statistical procedures such as the sweep operator, weighted mean and covariance matrix using an online algorithm, linear regression (using Cholesky, QR, SVD, sweep operator and conjugate gradients methods), ridge regression (with optimal selection of the ridge parameter considering several procedures), omnibus tests for univariate normality, functions to compute the multivariate skewness, kurtosis, the Mahalanobis distance (checking the positive defineteness), and the Wilson-Hilferty transformation of gamma variables. Furthermore, the package provides interfaces to C code callable by another C code from other R packages.
