Comments (1)
This is very reasonable request, thanks! Actually, there are a couple of methods to address this issue and I am aware of a recently published paper from NPL colleagues on large scale covariance matrix compression methods. Therefore, I'll assign this feature request to the NPL contributors for PyDynamic to implement this.
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Related Issues (20)
- Fix test for convolution which fails from time to time HOT 1
- Allow for spline-matching continuity in extrapolation-range
- Add further interpolations kinds to interp1d_unc to match scipy
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- LSIIR throws ValueError when UH is given HOT 1
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