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A class based on C++ code for leastsquares fitting and a module exposing the C++ class through the Rcpp package provides leastsquares fits for varying weights, with a given response vector and model matrix.
Package details 


Author  John Chambers 
Maintainer  John Chambers <[email protected]> 
License  GPL(>=2) 
Version  0.5 
Package repository  View on RForge 
Installation 
Install the latest version of this package by entering the following in R:

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