Re: [Gretl-users] Mahalanobis Distance - Execution Time

On Tue, 15 Apr 2014, Allin Cottrell wrote: > On Tue, 15 Apr 2014, GOO Creations wrote: > >> I'm benchmarking the Mahalanobis distance to see how the accuracy and >> execution time changes with an increasing sample size. As far as I >> understand the algorithm the execution time should grow linearly as the >> sample size increases. The weird thing is that the time grows linearly up >> to (and including) 199 samples, but then suddenly has a drop at 200 >> samples. I've attached a graph to illustrate this. > > What implementation of lapack/blas are you using? > > The most demanding task in computing Mahalanobis distance is the inversion > of the covariance matrix of the selected series, which is performed via > the lapack Cholesky functions dpotrf and dpotri. Depending on the > implementation, these functions may switch algorithm based on the size of > the input data (e.g. invoking parallelization when a certain threshold > size is exceeded). That's what I had thought too, initially. However, the size of the covariance matrix doesn't depend on the number of observations, which is the variable our friend is tracking (unless I misunderstood his message).