Ross Taylor
Ross Taylor
No worries, I'll look to incorporate it in in the next couple of weeks. Thanks!
Hi Peadar - I should have something out this weekend. It's not quite the same as cross-validation, but it serves much the same purpose (model selection).
Still not added is the black and white answer. I've taken a left-field approach to model selection here by proposing model stacking/ensembling as a first step. What I have now...
Thanks - I am aware of this, and will update docs when I see the deprecated module
For this task the main bottleneck to optimize are the recursions within _model(). For each model: ARIMA - the ma recursion GARCH - the entire recursion GAS - the entire...
That's really useful - seems like the right way to go to ensure Cython isn't mandatory for users. Can't wait to get stuck into this once I've got the other...
Tried that template out tonight - works a treat. Will have first Cythonized version this weekend!
Update after recent release: - GARCH models still need to be Cythonized. - Need to find good way of getting performance up for GAS/GARCH without compromising the flexibility of allowing...
**Update:** GAS and GASReg models to undergo further Cythonization this weekend.
GAS models Cythonized further - will be in next release; speedups of 1.5-2x.