To get started using R you can download it from http://cran.r-project.org/
Complete instructions for downloading R and installing it on eclipse are here: To run R on Eclipse
To understand the mathematics behind linear regression check out these slides: MultivariateLinearRegression.pdf
To understand why you need to normalize the data before the regression:
Here are some examples you might find interesting:
RegressionExample.R
sonar_regress_crossval.R
RidgeRegSonarData.R
Data Required for these programs
sonar_test.csv
sonar_train.csv
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