Efficient way of doing linear regression

[Juan]

Related to your question:

GLM is slow on large datasets. Using OnlineStats for regressions? MixedModels?

Hello. I’m planning to move from R to Julia and doing some tests about how to properly deal with large datasets and do simple tasks like regressions or survival analysis. I’ve done a benchmark with R (microbenchmark) for the regressions. N ← 3000 x1 ← rep(1:N, N) x2 ← rep(1:N, each = N) x3 ← sqrt(rep(1:N^2)) x1x2 ← x1x2 gg ← rep(1:5, each=N^2/5) y ← 1-2x1+3x2+0.5x1x2+rnorm(N^2)+x3*rnorm(N^2) dat ← data.frame(y,x1,x2,x1x2,x3, gg) dat2 ← cbind(1,x1,x2,x1x2,x3,gg) lm(y ~ x1 + x2 + x1…