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Augmented Dickey-Fuller test for GPU computing

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Mirko
Mirko on 22 May 2013
I am new to matlab and I tried to re-program the following code to run fast on a GPU. Technically the codes runs on a GPU but it is app. 100x slower than the Augmented Dickey-Fuller test given in the matlab Toolbox (the Toolbox code only runs on a CPU, the 100x is assuming that both Hardware powers are equal).
Question: Is there a specific trick which I am not Aware of to make the code faster?
if true
% code
dx = randn(100000,2);
a = cumsum(dx);
y = a(:,1);
x = a(:,2);
p = 0
l = 0
y = gpuArray(double(y));
x = gpuArray(double(x));
tic;
for lp = 1:1000 % Loop 1000 times to test Speed of calcullation
% error checking
if (p < -1);
error('p cannot be < -1 in cadf');
end;
nobs = rows(x);
if (nobs - (2*l) + 1 < 1);
error('nlags is too large in cadf; negative degrees of freedom');
end;
classUnderlying(x);
classUnderlying(y);
y = detrend(y,p);
x = detrend(x,p);
b = inv(x'*x)*x'*y;
r = y - x*b;
%gpuArray(r)
dep = tdiff(r,1);
dep = trimr(dep,1,0);
k = 0;
z = trimr(lag(r,1),1,0) ;
k = k + 1 ;
while (k <= l)
z = [z lag(dep,k)];
k = k + 1 ;
end;
z = trimr(z,l,0) ;
dep = trimr(dep,l,0) ;
beta = detrend(z,0)\detrend(dep,0) ;
% res = dep - z*beta ;
% BUG fix suggested by
% Nick Firoozye
% Sanford C. Bernstein, Inc
% 767 Fifth Avenue, #21-49
% New York, NY 10153
res = detrend(dep,0)- detrend(z,0)*beta;
so = (res'*res)/(rows(dep)-cols(z));
var_cov = so*inv(z'*z) ;
% results.alpha = beta(1,1);
results.adf = beta(1,1)/sqrt(var_cov(1,1));
results.crit = rztcrit(nobs,cols(x),p);
results.nlag = l;
results.nvar = cols(x);
% results.meth = 'cadf';
results.final = (results.crit(1) > results.adf)
end
toc
% References: Said and Dickey (1984) 'Testing for Unit Roots in
% Autoregressive Moving Average Models of Unknown Order',
% Biometrika, Volume 71, pp. 599-607.
% written by:
% James P. LeSage, Dept of Economics
% University of Toledo
end

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