Am 16.06.20 um 15:44 schrieb Allin Cottrell:
On Tue, 16 Jun 2020, Riccardo (Jack) Lucchetti wrote:
> 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:
>> 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
Kudos to Oleh! Great work indeed. Would be good to see him again here.
Yes, I was thinking of Oleh the other day, and I hope he comes back.
The big speed-up in our arma came from switching from Kalman to Guy
Melard's algorithm AS197.
Interesting, thanks for this information.