Examples_Rcpp_Attributes

sourceCpp(code = '#include <Rcpp.h>
using namespace Rcpp;

// [[Rcpp::export]]
DataFrame mypnorm(NumericVector x){
    int n = x.size();
    NumericVector y1(n), y2(n), y3(n);

    for (int i=0; i<n; i++){
        y1[i] = ::Rf_pnorm5(x[i], 0.0, 1.0, 1, 0);
        y2[i] = R::pnorm(x[i], 0.0, 1.0, 1, 0);
    }
    y3 = pnorm(x);
    return DataFrame::create(Named("R") = y1,
                 Named("Rf_") = y2,
                 Named("sugar") = y3);
}')
mypnorm(runif(10, -3, 3))

sourceCpp(code = '
// [[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);
    arma::colvec y(yr.begin(), yr.size(), false);
    arma::colvec coef = arma::solve(X, y);
    arma::colvec resid = y - X*coef;
    double sig2 = arma::as_scalar(arma::trans(resid)*resid/(n-k));
    arma::colvec stderrest = arma::sqrt(sig2 * arma::diagvec( arma::inv(arma::trans(X)*X)) );
    return List::create(Named("coefficients") = coef,
                            Named("stderr") = stderrest);
}')
X = matrix(rnorm(100*2), ncol = 2)
y = 0.5 + X %*% c(0.3, -0.7) + rnorm(100)
fastLm(y, X)

sourceCpp(code = '// [[Rcpp::depends(RcppEigen)]]
#include <RcppEigen.h>
using namespace Rcpp;
using Eigen::Map;
using Eigen::MatrixXd;
using Eigen::VectorXd;
// [[Rcpp::export]]

List fastLm2(NumericVector yr, NumericMatrix Xr) {
    const Map<MatrixXd> X(as<Map<MatrixXd> >(Xr));
    const Map<VectorXd> y(as<Map<VectorXd> >(yr));
    int n = Xr.nrow(), k = Xr.ncol();
    VectorXd coef = (X.transpose() * X).llt().solve(X.transpose() * y.col(0));
    VectorXd resid = y - X*coef;
    double sig2 = resid.squaredNorm() / (n - k);
    VectorXd stderrest = (sig2 * ((X.transpose() * X).inverse()).diagonal()).array().sqrt();
    return List::create(Named("coefficients") = coef,
                Named("stderr") = stderrest);
}')
fastLm2(y, X)