Included a variable with a set of nonzero AR parameters for ARMA and VAR #133
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
added 2 commits
August 16, 2018 16:43
Owner
|
Hey Eduardo - thanks for the pull request! I haven't had a chance to look at the library for a while, so I will look this weekend, including your PR. Thanks for the contribution! |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Hi Ross,
I needed to define a subset of autoregressive lags (set some of them to zero) on both your ARMA and VAR implementations for a project I was working on, so I defined a parameter that specifies those. Since it is done, I thought it would be good to incorporate that adjustment on your package. Beyond that, I tweaked the code a bit for it to be easier to follow. One important adjustment I did though is to initialize the negative log-likelihood, which was the reason why I was getting some funky variations in my results across runs. Thanks for sharing your code!