Used in R?

[cwliu007]

Hi ofrei,

Do you know how to use it in R? R has a Rcpp package that may be helpful at this point.

[ofrei]

@genwei007 Sorry, I do not understand. Could you please clarify your question?

[cwliu007]

@ofrei I just wonder if the C code can be compiled by Rcpp package so that we can use your functions in R language?

[ofrei]

@genwei007 Got it. I think it should be doable to integrate this package wtih Rcpp - though I haven't used Rcpp myself.
All functionality is exposed in two files:
https://github.com/ofrei/cppDERIVEST/blob/master/derivest.h
https://github.com/ofrei/cppDERIVEST/blob/master/derivest.cc
These files have no dependencies except C++11 standard.
To try it with Rcpp I would suggest try to remove "hessian" function from derivest.h and derivest.cc, and change signature of the derivest by replacing std::function<double(double)> fun with double(*fun)(double), and getting rid of <functional> and <vector> includes. Then you end up with pure C code which - I'm 100% sure - can be integrated with Rcpp.