Quickstart: Using Statistical Packages

R is a programming language designed for statistics and data mining. The R community is strong, and created an incredibly rich open source ecosystem of packages.

The F# R Type Provider enables you to use every single one of them, from within the F# environment. You can manipulate data using F#, send it to R for computation, and extract back the results.

Example: Linear Regression

Let's perform a simple linear regression from the F# interactive, using the R.lm function.

Assuming you installed the R Type Provider in your project from NuGet, you can reference the required libraries and packages this way:

#I "../packages/RProvider.1.0.11"
#load "RProvider.fsx"

open RDotNet
open RProvider
open RProvider.Operators

open RProvider.graphics
open RProvider.stats

Once the libraries and packages have been loaded, Imagine that our true model is

Y = 5.0 + 3.0 X1 - 2.0 X2 + noise

Let's generate a fake dataset that follows this model:

// Random number generator
let rng = System.Random()
let rand () = rng.NextDouble()

// Generate fake X1 and X2 
let X1s = [ for i in 0 .. 9 -> 10. * rand () ]
let X2s = [ for i in 0 .. 9 -> 5. * rand () ]

// Build Ys, following the "true" model
let Ys = [ for i in 0 .. 9 -> 5. + 3. * X1s.[i] - 2. * X2s.[i] + rand () ]

Using linear regression on this dataset, we should be able to estimate the coefficients 5.0, 3.0 and -2.0, with some imprecision due to the "noise" part.

Let's first put our dataset into a R dataframe; this allows us to name our vectors, and use these names in R formulas afterwards:

let dataset = [ 
    "Y" => Ys
    "X1" => X1s
    "X2" => X2s ] |> R.data_frame

We can now use R to perform a linear regression. We call the R.lm function, passing it the formula we want to estimate. (See the R manual on formulas for more on their somewhat esoteric construction)

let result = R.lm(formula = "Y~X1+X2", data = dataset)

Extracting Results from R to F#

The result we get back from R is a R Expression. The R Type Provider tries as much as possible to keep data as R Expressions, rather than converting back-and-forth between F# and R types. It limits translations between the 2 languages, which has performance benefits, and simplifies composing R operations. On the other hand, we need to extract the results from the R expression into F# types.

The R docs for lm describes what R.lm returns: a R List. We can now retrieve each element, accessing it by name (as defined in the documentation). For instance, let's retrieve the coefficients and residuals, which are both R vectors containg floats:

let coefficients = result.AsList().["coefficients"].AsNumeric()
let residuals = result.AsList().["residuals"].AsNumeric()

We can also produce summary statistics about our model, like R^2, which measures goodness-of-fit - close to 0 indicates a very poor fit, and close to 1 a good fit. See R docs for the details on Summary.

let summary = R.summary(result)
summary.AsList().["r.squared"].AsNumeric()

Finally, we can directly pass results, which is a R expression, to R.plot, to produce some fancy charts describing our model:

R.plot result

That's it - while simple, we hope this example illustrate how you would go about to use any existing R statistical package. While the details would differ, the general approach would remain the same. Happy modelling!