st: New package -rpnfcn-

[Henrik Stovring <hstovring@health.sdu.dk>]

Thanks to Kit Baum, the new package -rpnfcn- is now available on SSC. To 
install simply type:

    ssc install rpnfcn

from a net-aware Stata-session.

The function is presented in an upcoming paper in Stata Journal, where 
it is described as follows in the abstract:

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A generic function evaluator implemented in Mata

Background: When implementing new statistical procedures, there is 
frequently a need for simple - and yet computationally efficient - ways 
of numerically evaluating composite distribution functions. If the 
statistical procedure must support calculations for censored and 
non-censored cases, then those calculations should be carried out using 
efficient computational implementations of both definite and indefinite 
integrals (e.g., calculation of tail areas of distribution functions).

Method: We developed a generic function evaluator such that users may 
specify a function using Reverse Polish notation (RPN). As its argument 
the function evaluator takes a matrix of pointers and then applies the 
rows of this matrix to its internally defined stack of pointers. 
Accordingly, each row of the argument matrix defines a single operation 
such as evaluating a function on the current element of the stack, 
applying an algebraic operation to the two top elements of the stack, or 
manipulating the stack itself. Defining new composite distribution 
functions from other (atomic) distribution functions then corresponds to 
joining two or more function-defining matrices vertically. This approach 
can further be used to obtain integrals of any defined function. As an 
example we show how the density and distribution function for the 
minimum of two Weibull distributed random variables can be numerically
evaluated and integrated.

Results: The procedure provides a flexible and extensible framework for 
implementing numerical evaluation of general, composite distributions. 
The procedure is numerically relatively efficient, although not optimal.
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In its present form only the exponential and Weibull distributions have 
been implemented, but as the tool is generic, it should be simple to 
implement other distributions. If you do so, please let me know and I 
will incorporate them in the package with due acknowledgement. While the 
package comes with no warranty at all, please let me know if you find a 
bug, so we can get it squashed.

Best,

Henrik
--
Henrik St�vring, PhD

Research Unit of General Practice
University of Southern Denmark
Winsl�wparken 19, 3
DK-5000 Odense C
Phone: (+45) 6550 3692
Fax: (+45) 6591 8296
email: hstovring@health.sdu.dk
Homepage: http://www.biostat.sdu.dk/~stovring
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