Patrick Roland <patrick.rolande@gmail.com> posted that the Mata function
-cholinv()- is slower than a Matlab function for large matrices.
Others have discussed some issues with Patrick's example. Despite these
issues, we took Patrick's post seriously, looked at the code, and found
something that could be sped up.
We will release a faster version of -cholinv()- in an upcoming executable
update.
Note that any speed difference related to -cholinv()- is only noticeable
for large matrices. For small matrices, such as variance-covariance
matrices for models with 100 or fewer parameters, the difference is much
harder to find. For example, the computation takes about .001 seconds on
my machine.
Best,
David
ddrukker@stata.com
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