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Published 20 hours ago • verified publisher icon config-i1

Rewrite C++ code using RcppEigen package

Open config-i1 opened this issue 7 years ago • 1 comments

It seems that this should decrease computation time due to more efficient matrix multiplication. But this means that almost all the parts of C++ code would need to be rewritten.

config-i1 avatar Jun 01 '18 15:06 config-i1

This is especially important for SSARIMA, for which the transition matrix can become quite ridiculous on high frequency data.

config-i1 avatar Jun 04 '18 17:06 config-i1

Not going to happen in this century.

config-i1 avatar Sep 15 '22 17:09 config-i1