In this chapter we will see how R can be interfaced with C++ to speed up statistical computations. In particular, we will explain how functions written in C++ can be called from R via the .Call interface. We will then explain how the Rcpp package provides tools for seamlessly integrating R with C++, thus providing a better alternative to direct usage of R’s C API.

The chapter consists of the following sections:

• 1. Using R's C API
• 2. Exercises on chaotic maps and kernel regression smoothing
• 3. Rcpp basics
• 4. Exercises on Rcpp