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guilhermebodin avatar guilhermebodin commented on August 25, 2024

Hi @rustyconover, currently there is no trick that you can do to speed that up. But we are working on a branch refactoring-to-0.4 that will give you some options that will be merged soon. Some of the options are:

  • Model the seasonality as a cycle, this reduces the number of states.
  • Implement a custom Kalman Filter for the structural model equation.

As you grow the size of the system matrices, i.e. T the longer it takes to estimate because the Kalman Filter equations will cost more.

from statespacemodels.jl.

rustyconover avatar rustyconover commented on August 25, 2024

@guilhermebodin Thank you for your reply. I understand now why having long cycles can be suboptimal. Maybe I will downsample the data such that it results in data points.

Just in case you're interested, using your module has led me to the top of the real-time prediction leaderboard at microprediction.org.

from statespacemodels.jl.

guilhermebodin avatar guilhermebodin commented on August 25, 2024

@rustyconover I would love know more about the particular application. The refactoring-0.4 will handle real-time predictions in a much more efficient way.

from statespacemodels.jl.

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