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RJT1990 / pyflux

Open source time series library for Python
BSD 3-Clause "New" or "Revised" License
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Included a variable with a set of nonzero AR parameters for ARMA and VAR #133

Open ecastrow opened 5 years ago

ecastrow commented 5 years ago

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!

RJT1990 commented 5 years ago

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!