6:58 p.m.
Hello,
Is there a cumulative product command similar to the cumulative sum command cum?
Thanks,
Logan Kelly
2:49 p.m.
On Mon, 13 Aug 2012, Allin Cottrell wrote:
On Mon, 13 Aug 2012, Logan Kelly wrote:
> Is there a cumulative product command similar to the
> cumulative sum command cum?
Not built-in, but it's trivial to write.
<hansl>
function series cumprod (series y)
y = y * y(-1)
return y
end function
</hansl>
Beware the power of logarithms!
<hansl>
nulldata 10
fact = exp(cum(ln(index)))
print index fact -o
</hansl>
--------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
--------------------------------------------------
3:07 p.m.
On 08/20/2012 04:49 PM, Riccardo (Jack) Lucchetti wrote:
On Mon, 13 Aug 2012, Allin Cottrell wrote:
> On Mon, 13 Aug 2012, Logan Kelly wrote:
>
>> Is there a cumulative product command similar to the
>> cumulative sum command cum?
>
> Not built-in, but it's trivial to write.
>
> <hansl>
> function series cumprod (series y)
> y = y * y(-1)
> return y
> end function
> </hansl>
Beware the power of logarithms!
<hansl>
nulldata 10
fact = exp(cum(ln(index)))
print index fact -o </hansl>
Completely non-important, but I wonder which is more efficient --
exp(...ln()) seems very costly in terms of complicated nonlinear
function evaluations, but OTOH there's the function call overhead in the
user-defined function...
Of course I could just test myself... oh well.
-sven
5:31 p.m.
It strikes me that exp(cum(ln(index))) could be more costly both in terms of cycles and
added round-off error (though for the simple stuff I do both are probably trivial). My
concern with exp(cum(ln(index))) is that it will not work if the series contains negative
values?
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of Sven Schreiber
Sent: Monday, August 20, 2012 10:08 AM
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] Cumulative Product
On 08/20/2012 04:49 PM, Riccardo (Jack) Lucchetti wrote:
On Mon, 13 Aug 2012, Allin Cottrell wrote:
> On Mon, 13 Aug 2012, Logan Kelly wrote:
>
>> Is there a cumulative product command similar to the cumulative sum
>> command cum?
>
> Not built-in, but it's trivial to write.
>
> <hansl>
> function series cumprod (series y)
> y = y * y(-1)
> return y
> end function
> </hansl>
Beware the power of logarithms!
<hansl>
nulldata 10
fact = exp(cum(ln(index)))
print index fact -o </hansl>
Completely non-important, but I wonder which is more efficient --
exp(...ln()) seems very costly in terms of complicated nonlinear function evaluations, but
OTOH there's the function call overhead in the user-defined function...
Of course I could just test myself... oh well.
-sven
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Gretl-users(a)lists.wfu.edu
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11:06 p.m.
On Mon, 20 Aug 2012, Logan Kelly wrote:
It strikes me that exp(cum(ln(index))) could be more costly both in
terms of cycles and added round-off error (though for the simple stuff I
do both are probably trivial). My concern with exp(cum(ln(index))) is
that it will not work if the series contains negative values?
Of course not, but:
1) does it make sense at all to compute the cumulative product of
something that may be non-positive? Can you provide any real-world
example?
2) the definitive solution was Allin's: y = y *y(-1) all the rest are just
musings on the subject.
--------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Economia
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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5 comments
4 participants
participants (4)
-
Allin Cottrell -
Logan Kelly -
Riccardo (Jack) Lucchetti -
Sven Schreiber