[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.