# Fast computation of some matrices useful in statistics

Yet another R package for matrices. It contains a small set of functions to fast computation of some matrices and operations useful in statistics.

## Features

Latest release (May 8, 2021) of fastmatrix package have implemented the following functions:

- Array multiplication (see for instance, Appendix A of Wei, 1998).
- C version of the Kronecker product which is slightly faster than the built in R base.
- Column-equilibration for rectangular matrices.
- Covariance matrix estimation using the Mean Square Successive (MSSD) method.
- Estimation of the weighted mean and covariance matrix using an online algorithm (Clarke, 1971).
- Computation of central moments up to fourth order using an online algorithm (Spicer, 1972).
- Fast computation of Hadamard product using unrolled loops.
- Gauss-Seidel, Jacobi and conjugate gradients (CG) iterative methods for solving linear systems.
- Geometric mean using a Fused-Multiply-and-Add (FMA) compensated scheme for accurate computation of floating-point product.
- Inner products and norms for matrices.
- Interface to
**C code callable by another C code**from other R packages. - LDL decomposition for symmetric real matrices.
- Lp norms for vectors.
- LU factorization for square matrices.
- Mahalanobis distances, checking if the covariance is a positive definite matrix.
- Operations envolving the commutation matrix, with minimum requirements of storage.
- Operations envolving the duplication matrix, with minimum requirements of storage.
- Operations envolving the symmetrizer matrix, with minimum requirements of storage.
- Ordinary least-squares (OLS) using several methods: conjugate gradients, Cholesky, QR decomposition, singular value decomposition, and the Sweep operator. This provides an alternative to extend the procedures available in R built-in function ‘lm’.
- Power method to compute the dominant eigenvalue and its associated eigenvector.
- Ridge estimation for linear regression.
- Routines to compute measures of multivariate skewness and kurtosis proposed by Mardia (1970).
- Sherman-Morrison formula.
- Sweep operator for symmetric matrices.
- vec and vech operators to handle rectangular and square matrices.
- Whitening transformation.
- Wilson-Hilferty transformation for chi-squared random variables.

Our plan in the near future is the implementation of functions to handle:

- Some special matrices and operations arising in numerical analysis.

## Reference Manual

## Resources

Latest binaries and sources (development version) for fastmatrix are available here:

- fastmatrix_0.3-819.tar.gz - Package sources
- fastmatrix_0.3-819.zip - Windows binaries
- fastmatrix_0.3-819.tgz - Mac OS binaries

Version 0.3-819 of fastmatrix can be found at the CRAN package repository:

- fastmatrix_0.3-819.tar.gz - Package sources
- fastmatrix_0.3-819.zip - Windows binaries (R-release)
- fastmatrix_0.3-819.tgz - Mac OS binaries (R-release)

## Installation instructions

To install fastmatrix **(version 0.3-819)** from CRAN, start R and enter:

```
install.packages("fastmatrix")
```

Or install it from its GitHub repository **(development version)**. First install the devtools package.

```
install.packages("devtools")
```

Then install fastmatrix using the `install_github`

function in devtools

```
library(devtools)
install_github("faosorios/fastmatrix", subdir = "pkg")
```

Alternatively, you can download the source as a tarball (.tar.gz file). Unpack this file (thereby creating a directory named, fastmatrix) and install the package source by executing (at the console prompt)

```
R CMD INSTALL fastmatrix
```

Next, you can load the package by using the command: `library(fastmatrix)`

## Providing Feedback

Please report any bugs/suggestions/improvements to Felipe Osorio. If you find these routines useful or not then please let me know. Also, acknowledgement of the use of the routines is appreciated.

### To cite the fastmatrix package in publications use:

Osorio, F., Ogueda, A. (2021). fastmatrix: Fast computation of some matrices useful in statistics. R package version 0.3-819. URL: faosorios.github.io/fastmatrix

## About the Authors

Felipe Osorio is an Assistant Professor at Department of Mathematics, Universidad Tecnica Federico Santa Maria, Chile.

- Webpage: fosorios.mat.utfsm.cl

Alonso Ogueda is Master of Mathematics from the Department of Mathematics, Universidad Tecnica Federico Santa Maria, Chile.

- Github: github.com/aoguedao