Large correlation in parallel

February 24, 2013
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(This article was originally published at Brain Chronicle, and syndicated at StatsBlogs.)

A little improvement to the bigcor function proposed on Rmazing to compute huge correlation matrix in R, I made the function work in parallel using all the CPU cores available on the machine. The code is here.

Here is a benchmark of the 2 functions on my machine with 8 cores:




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