inst/doc/quick-usage-guide-to-the-fastglm-package.R

In fastglm: Fast and Stable Fitting of Generalized Linear Models using 'RcppEigen'

## ----setup, include = FALSE---------------------------------------------------
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

## ---- eval = FALSE, echo=TRUE-------------------------------------------------
#  devtools::install_github("jaredhuling/fastglm")

## ---- echo=TRUE---------------------------------------------------------------
library(fastglm)

## ---- echo = TRUE-------------------------------------------------------------
data(esoph)
x <- model.matrix(cbind(ncases, ncontrols) ~ agegp + unclass(tobgp)
                                         + unclass(alcgp), data = esoph)
y <- cbind(esoph$ncases, esoph$ncontrols)

gfit1 <- fastglm(x = x, y = y, family = binomial(link = "cloglog"))

summary(gfit1)

## ---- fig.show='hold'---------------------------------------------------------
set.seed(1)
x <- matrix(rnorm(10000 * 100), ncol = 100)
y <- (exp(0.25 * x[,1] - 0.25 * x[,3] + 0.5 * x[,4] - 0.5 * x[,5] + rnorm(10000)) ) + 0.1


system.time(gfit1 <- fastglm(cbind(1, x), y, family = Gamma(link = "sqrt")))

system.time(gfit2 <- glm(y~x, family = Gamma(link = "sqrt")) )

system.time(gfit3 <- glm2::glm2(y~x, family = Gamma(link = "sqrt")) )

## Note that fastglm() returns estimates with the
## largest likelihood
logLik(gfit1)
logLik(gfit2)
logLik(gfit3)

coef(gfit1)[1:5]
coef(gfit2)[1:5]
coef(gfit3)[1:5]

## check convergence of fastglm
gfit1$converged
## number of IRLS iterations
gfit1$iter

## now check convergence for glm()
gfit2$converged
gfit2$iter

## check convergence for glm2()
gfit3$converged
gfit3$iter


## increasing number of IRLS iterations for glm() does not help that much
system.time(gfit2 <- glm(y~x, family = Gamma(link = "sqrt"), control = list(maxit = 100)) )

gfit2$converged
gfit2$iter

logLik(gfit1)
logLik(gfit2)