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! :-)

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: >> >> 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.

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.