statsmodels/statsmodels — pull request #1069 by jseabold (2013-09-02 19:55:55+00:00)
Title: ENH: Optimize Cython code for big ARMA speed-up.

10-20x speed-up for ARMA fitting. `test_arima.py` goes from ~75s to ~18s.

The mailing list examples goes from ~114s to ~5s.

The only issue is that I think we may now need to ship a copy of the couple of BLAS functions and headers we use like scikit-learn does. I'm not sure if there's anyway to try to link against the same BLAS headers that numpy does. Thinking about it, I don't think there's anyway to even guarantee that it exists still. @rgommers do you have any idea about this?