Re: [Gretl-devel] ARMA developments
Am 27.04.2018 um 23:43 schrieb Allin Cottrell:
I'm pleased to announce that our code for exact ML estimation of
ARMA
models is now (in git and snapshots) MUCH faster than it used to be
(like, two orders of magnitude faster in many cases).
Thanks go to Oleh for pushing us in this direction!
Speed is always cool, of course. But a real-world application example
would be nice where there's a user-noticeable difference. I mean I just
tried an artificial dataset with 9999 obs and current arma felt
instantaneous already.
Are people using bootstraps on ARMA specifications or stuff like that?
And/or simulate some option prices based on an ARMA DGP for example?
That would make a nice comparison with other software.
thanks,
sven