Is there a faster lm function
Yes there are:
R itself has
lm.fit()
which is more bare-bones: no formula notation, much simpler result setseveral of our Rcpp-related packages have
fastLm()
implementations: RcppArmadillo, RcppEigen, RcppGSL.
We have described fastLm()
in a number of blog posts and presentations. If you want it in the fastest way, do not use the formula interface: parsing the formula and preparing the model matrix takes more time than the actual regression.
That said, if you are regressing a single vector on a single vector you can simplify this as no matrix package is needed.
Since 3.1.0 there is a .lm.fit()
function. This function should be faster than lm()
and lm.fit()
.
It's described and its performance is compared with different lm
functions here - https://rpubs.com/maechler/fast_lm.