Re: [Gretl-users] Performance issues with sums and covariances
On Wed, 12 Mar 2014, Allin Cottrell wrote:
This is the fastest version I can come up with on a quick go (if one
doesn't
mind having the result as a matrix):
<hansl>
set stopwatch
scalar T = 10000
matrix y = zeros(T,1)
scalar iters=10000
matrix DFT = zeros(iters,1)
loop i=1..iters --quiet
y = cum(mnormal(T, 1))
DFT[i] = (T-2) * (mols(y[3:],mlag(y,1)[3:])-1)
endloop
mwrite(DFT, "DFT.mat")
printf "Time taken: %f seconds\n", $stopwatch
</hansl>
Not to mention the fact that this one is the easiest to parallelise if you
have the right hardware and you don't mind using the unstable version of
gretl (see
http://lists.wfu.edu/pipermail/gretl-devel/2014-March/004937.html); but
that's experimental for now. Handle with care.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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