On Sat, 28 Apr 2018, Sven Schreiber wrote:
Am 28.04.2018 um 11:29 schrieb Riccardo (Jack) Lucchetti:
> On Sat, 28 Apr 2018, Sven Schreiber wrote:
>
>> 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.
>
> Actually, the new setup has been in git for at least a couple of weeks.
Ah OK, so the relevant comparison would have to use the release 2018a?
Yes. Or better still, the one before that. When we released 2018a some
moderate speedups to our native Kalman apparatus were already in.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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