[Gretl-users] Re: Speed comparison ARIMA Python Gretl
On Tue, 16 Jun 2020, Artur Tarassow wrote:
Hey all,
during the last couple of days I had to use Python's popular 'statsmodels'
package for estimating ARIMA type of models. Here is a comparison with
gretl's built-in apparatus for those who are interested:
https://github.com/atecon/benchmark_arima
To summarize: 'In terms of speed, statsmodels is no competitor at all.' ;-)
Let me add one thing: The computational heavy task is done in some
kalman-function which calls cython code which is written in C. However, tt
seems that there optimization algorithm is not well-programmed compared to
what Jack and Allin (maybe Sven?) have implemented. Well done, guys! :-)
Much of the credit goes to Oleh Komashko, who some time ago did a great
job in comparing our ARIMA code to other software's and led us to the
present mix of algorithms. Unfortunately, Oleh has disappeared from the
community for some time now but I hope he'll be back again, because he's a
great hansl coder and an asset for the while gretl community.
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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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