Obviously sort() is not needed in the following line:
X <- median( sort( do.call(c, num) / do.call(c, dom) ) )
Brad Schneid wrote
> Hello,
>
> I am working on a simple non-parametric (Theil) regression function and
> and am following Hollander and Wolfe 1999 text. I would like some help
> making my function faster. I have compared with pre-packaged version from
> "MBLM", which isnt very fast either, but it appears mine is faster with N
> = 1000 (see results below). I plan on running this function repeatedly,
> and I generally have data lengths of ~ N = 6000 or more.
>
> # My function following Hollander and Wolfe text, Chapter 9
> np.lm <-function(dat, X, Y, ...){
> # Ch 9.2: Slope est. (X) for Thiel statistic
> combos <- combn(nrow(dat), 2)
> i.s <- combos[1,]
> j.s <- combos[2,]
> num <- vector("list", length=length(i.s))
> dom <- vector("list", length=length(i.s))
>
> for(i in 1:length(i.s)){
> num[[i]] <- dat[j.s[i],Y] - dat[i.s[i],Y]
> dom[[i]] <- dat[j.s[i],X] - dat[i.s[i],X]
> }
>
> X <- median( sort( do.call(c, num) / do.call(c, dom) ) )
> # Ch 9.4: Intercept est. for Thiel statistic
> Intercept <- median(dat[,"Y"] - X*dat[,"X"])
> out <- data.frame(Intercept, X)
> return(out)
> } # usage: np.lm(dat, X=1, Y=2)
> ################################################################
>
> library("mblm") # I will compare to mblm() function
>
> X <- rnorm(1000)
> Y <- rnorm(1000)
> dat <- data.frame(X, Y)
>
> system.time(np.lm(dat, X=1, Y=2) )
> user system elapsed
> 118.610 0.130 119.144
> 109.000 0.040 109.416 # ran it twice
> 86.190 0.100 86.589 # 3rd time
>
> system.time( mblm(Y~X, dat, repeated=F) )
> user system elapsed
> 1509.200 87.670 1602.987
> # not waiting on that to run again
>
> OK, mine appears to be way faster... oddly, mblm() seemed faster with
> smaller (n=100) datasets
>
> Can someone please tell me how they would improve the np.lm() function to
> make it quicker, or faster with some other tricks (parallel?.. Ive never
> done that.).
>
> Thank you ahead of time for any help.
> Brad
>
> Ubuntu 10.04
> Intel i5 CPU 4*(650 @ 3.20GHz)
> 11.6 GiB memory
> R version 2.15.0 (2012-03-30)
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