The choice of maxlag is the most obvious way to improve overall performance. I see two ways ahead:
a. do some comprehensive testing of different values and work out a better default formula
b. let the user do it by brute force - some kind of cross-validation to choose the best value.
Probably will want to do both these - ie have good performing defaults, but also the option to determine the optimal value of the hyperparameter. Doing b. first will help with the a. anyway.
Ic3fr0g
commented
7 years ago
The choice of maxlag is the most obvious way to improve overall performance. I see two ways ahead:
a. do some comprehensive testing of different values and work out a better default formula b. let the user do it by brute force - some kind of cross-validation to choose the best value.
Probably will want to do both these - ie have good performing defaults, but also the option to determine the optimal value of the hyperparameter. Doing b. first will help with the a. anyway.