Re: [Gretl-devel] ARMA developments
On Sun, 29 Apr 2018, Sven Schreiber wrote:
Am 29.04.2018 um 21:10 schrieb Allin Cottrell:
> up with what I think is now the fastest ARMA around (faster than x12a/x13a,
> and much faster than R's arima()).
So aim to replace the external X13? Not entirely seriously, but why actually
not?
Well, I'd say it's still worth keeping X13 as an optional
alternative. It's reasonably fast, and since it uses a quite
different algorithm (IGLS) it may show up the odd case where our
native code misses the MLE.
I used X13 as a baseline in my testing of our new code and it would
be a pain to have to do that sort of thing externally rather than
just via the convenient "-x" option to our "arma" command.
Allin