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Re: Replace Table[Sum...]...] with Functional code

  • To: mathgroup at smc.vnet.net
  • Subject: [mg98556] Re: Replace Table[Sum...]...] with Functional code
  • From: mike.honeychurch at gmail.com
  • Date: Sun, 12 Apr 2009 03:49:46 -0400 (EDT)
  • References: <grpilf$ltq$1@smc.vnet.net>

On Apr 11, 2:59 am, Bob Hanlon <hanl... at cox.net> wrote:
> mm[data_, period_] :=
>  Table[
>   Sum[(Log[data[[t]]] - Log[data[[t - i]]])/Sqrt[i],
>     {i, 1, period}]/period,
>   {t, period + 1, Length[data]}]
>
> mm2[data_, period_] := Module[
>   {logData = Log[data], d = Sqrt[Range[period, 1, -1]]},
>   Mean[#/d] & /@
>    (Drop[logData, period] -
>      Most[Partition[logData, period, 1]])]
>
> data = Array[x, {500}];
>
> period = Random[Integer, {20, 100}]
>
> 41
>
> Timing[r1 = mm[data, period];]
>
> {0.459393,Null}
>
> Timing[r2 = mm2[data, period];]
>
> {0.228474,Null}
>
> %/%%
>
> {0.497339,1}
>
> r1 == r2
>
> True
>
> Bob Hanlon
>
> ---- Andreas <aa... at ix.netcom.com> wrote:
>
> =============
> I use the following two functions to analyze time series:
>
> mm[data_, period_] := Table[Sum[(Log[data[[t]]] - Log[data[[t - i]]]) /=
 Sqrt[i], {i, 1, period}] / period, {t, period + 1, Length[data]}]
>
> mr[data_, period_] := Table[Sum[Log[data[[t - i]] / data[[-i + t - 1]]]=
 * (Sqrt[i] - Sqrt[i - 1]), {i, 1, period}],{t, period + 2, Length[data]}]
>
> They have a similar structure, Table[Sum[...]...], which sums a bunch of =
stuff from the time series at each point in the series.
>
> I'd like to convert them into functional programing constructs, but as th=
e increments in the Table function come into play in the Sum, I haven't bee=
n able to figure out a way to do it.
>
> I've tried Map with Partition and a bunch of other things, but I could us=
e some pointers.
>
> Any help much appreciated.

By using Table and Sum you are repeating a lot of calculations. Once
"period" has been set all the possible values of (Sqrt[i] - Sqrt[i -
1]) and Log[data[[t - i]] / data[[-i + t - 1]]] are set. Therefore:

kernel=Table[(Sqrt[i]-Sqrt[i-1]),{i,period}];

ls=ListCorrelate[{1,1},data,{1,-1},1,Times,Log[#2/#1]&];

so now combine them:

ListConvolve[kernel,ls,{-1,1},0]

functionalMR[data_,period_]:=Module[{kernel,ls},
kernel=Table[(Sqrt[i]-Sqrt[i-1]),{i,period}];
ls=ListCorrelate[{1,1},data,{1,-1},1,Times,Log[#2/#1]&];
ListConvolve[kernel,ls,{-1,1},0]
]

This is a little bit slower than Ray Koopman's code but I just like
using ListCorrelate and ListConvolve as replacements for Table[Sum
[  ...]...]

:)

Mike


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