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// [[Rcpp::depends(RcppArmadillo)]]
#include <RcppArmadillo.h>
using namespace Rcpp;
// [[Rcpp::export]]
List fastLm(NumericVector yr, NumericMatrix Xr) {
int n = Xr.nrow(), k = Xr.ncol();
arma::mat X(Xr.begin(), n, k, false); // reuses memory and avoids extra copy
arma::colvec y(yr.begin(), yr.size(), false);
arma::colvec coef = arma::solve(X, y); // fit model y ~ X
arma::colvec resid = y - X*coef; // residuals
double sig2 = arma::as_scalar( arma::trans(resid)*resid/(n-k) );
// std.error of estimate
arma::colvec stderrest = arma::sqrt(
sig2 * arma::diagvec( arma::inv(arma::trans(X)*X)) );
return List::create(Named("coefficients") = coef,
Named("stderr") = stderrest
);
}
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