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hildensia / bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.
MIT License
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fullcov_obs_log_likelihood performance improvement #12

Closed closedLoop closed 8 years ago

closedLoop commented 8 years ago

Improvement over np.outer http://stackoverflow.com/questions/17437523/python-fast-way-to-sum-outer-products

profiling example.py np.outer 20.34 seconds np.einsum 0.42 seconds

This is a 40-50x speed up in the definition of these priors

hildensia commented 8 years ago

Great. Thanks.