Opened 12 years ago
Last modified 12 years ago
#1614 new defect
Fast X-ARIMA estimation — at Version 5
| Reported by: | Víctor de Buen Remiro | Owned by: | Víctor de Buen Remiro |
|---|---|---|---|
| Priority: | normal | Milestone: | Numerical methods |
| Component: | Math | Version: | 3.1 |
| Severity: | normal | Keywords: | |
| Cc: |
Description (last modified by )
Hace falta un método rápido de estimación X-ARIMA con restricciones y prior con una API común para estimación máximo verosímil y bayesiana.
Si es posible incluirlo en GenLinModel eso facilitaría bastante el trabajo.
La función de verosimilitud exacta requiere el manejo de matrices de Toeplitz para los que existen algoritmos muy rápidos:
- CHANDRASEKARAN-GU-SUN-XIA-ZHU A superfast algorithm for toeplitz systems of linear equations
- Ammar-Gragg : Superfast solution of real positive definite toeplitz systems.
- Codevico G. Heinig M. Van Barel A Superfast Solver for Real Symmetric Toeplitz Systems Using Real Trigonometric Transformations. (C++ source code)
También puede merecer la pena estudiar de verlo como un problema de espacio de estados.
Change History (5)
comment:1 Changed 12 years ago by
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comment:2 Changed 12 years ago by
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comment:4 Changed 12 years ago by
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comment:5 Changed 12 years ago by
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