Parallelize a rolling window regression in R

Question

I\'m running a rolling regression very similar to the following code:

library(PerformanceAnalytics)
library(quantmod)
data(managers)

FL <- as.formula(Next(HA         


        

Answer 1

The obvious one is to use lm.fit() instead of lm() so you don't incur all the overhead in processing the formula etc.

Update: So when I said obvious what I meant to say was blindingly obvious but deceptively difficult to implement!

After a bit of fiddling around, I came up with this

library(PerformanceAnalytics)
library(quantmod)
data(managers)

The first stage is to realise that the model matrix can be prebuilt, so we do that and convert it back to a Zoo object for use with rollapply():

mmat2 <- model.frame(Next(HAM1) ~ HAM1 + HAM2 + HAM3 + HAM4, data = managers, 
                     na.action = na.pass)
mmat2 <- cbind.data.frame(mmat2[,1], Intercept = 1, mmat2[,-1])
mmatZ <- as.zoo(mmat2)

Now we need a function that will employ lm.fit() to do the heavy lifting without having to create design matrices at each iteration:

MyRegression2 <- function(Z) {
    ## store value we want to predict for
    pred <- Z[31, -1, drop = FALSE]
    ## get rid of any rows with NA in training data
    Z <- Z[1:30, ][!rowSums(is.na(Z[1:30,])) > 0, ]
    ## Next() would lag and leave NA in row 30 for response
    ## but we precomputed model matrix, so drop last row still in Z
    Z <- Z[-nrow(Z),]
    ## fit the model
    fit <- lm.fit(Z[, -1, drop = FALSE], Z[,1])
    ## get things we need to predict, in case pivoting turned on in lm.fit
    p <- fit$rank
    p1 <- seq_len(p)
    piv <- fit$qr$pivot[p1]
    ## model coefficients
    beta <- fit$coefficients
    ## this gives the predicted value for row 31 of data passed in
    drop(pred[, piv, drop = FALSE] %*% beta[piv])
}

A comparison of timings:

> system.time(Result <- rollapply(managers, 31, FUN="MyRegression",FL,
+                                 by.column = FALSE, align = "right", 
+                                 na.pad = TRUE))
   user  system elapsed 
  0.925   0.002   1.020 
> 
> system.time(Result2 <- rollapply(mmatZ, 31, FUN = MyRegression2,
+                                  by.column = FALSE,  align = "right",
+                                  na.pad = TRUE))
   user  system elapsed 
  0.048   0.000   0.05

Which affords a pretty reasonable improvement over the original. And now check that the resulting objects are the same:

> all.equal(Result, Result2)
[1] TRUE

Enjoy!