dotCall64: An Efficient Interface to Compiled C/C++ and Fortran Code Supporting Long Vectors

The R functions .C() and .Fortran() can be used to call compiled C/C++ and Fortran code from R. This so-called foreign function interface is convenient, since it does not require any interactions with the C API of R. However, it does not support long vectors (i.e., vectors of more than 2^31 elements). To overcome this limitation, the R package dotCall64 provides .C64(), which can be used to call compiled C/C++ and Fortran functions. It transparently supports long vectors and does the necessary castings to pass numeric R vectors to 64-bit integer arguments of the compiled code. Moreover, .C64() features a mechanism to avoid unnecessary copies of function arguments, making it efficient in terms of speed and memory usage.Comment: 17 page

spam: A Sparse Matrix R Package with Emphasis on MCMC Methods for Gaussian Markov Random Fields

spam is an R package for sparse matrix algebra with emphasis on a Cholesky factorization of sparse positive definite matrices. The implemantation of spam is based on the competing philosophical maxims to be competitively fast compared to existing tools and to be easy to use, modify and extend. The first is addressed by using fast Fortran routines and the second by assuring S3 and S4 compatibility. One of the features of spam is to exploit the algorithmic steps of the Cholesky factorization and hence to perform only a fraction of the workload when factorizing matrices with the same sparsity structure. Simulations show that exploiting this break-down of the factorization results in a speed-up of about a factor 5 and memory savings of about a factor 10 for large matrices and slightly smaller factors for huge matrices. The article is motivated with Markov chain Monte Carlo methods for Gaussian Markov random fields, but many other statistical applications are mentioned that profit from an efficient Cholesky factorization as well.

A spatial analysis of multivariate output from regional climate models

Climate models have become an important tool in the study of climate and climate change, and ensemble experiments consisting of multiple climate-model runs are used in studying and quantifying the uncertainty in climate-model output. However, there are often only a limited number of model runs available for a particular experiment, and one of the statistical challenges is to characterize the distribution of the model output. To that end, we have developed a multivariate hierarchical approach, at the heart of which is a new representation of a multivariate Markov random field. This approach allows for flexible modeling of the multivariate spatial dependencies, including the cross-dependencies between variables. We demonstrate this statistical model on an ensemble arising from a regional-climate-model experiment over the western United States, and we focus on the projected change in seasonal temperature and precipitation over the next 50 years.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS369 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org