[pystatsmodels] SARIMAX fitting time

['Steffen Rolf-Pissarczyk' via pystatsmodels]

Hello everyone,


my name is Steffen Rolf-Pissarczyk and I have a presumably simple problem
with statsmodels 0.9.0.



I try to fit a SARIMA model (with a rather long seasonal lag of 96) to a
timeseries with 90000 entries.

I found that this task takes a rather long time ( couple of hours), using
SARIMAX and fit.



For comparison I used the ECOMETRIC TOOLBOX from Matlab.

Here I use regARIMA and the estimate() function and I just takes seconds
to get fitting parameters.



I already tried to search throughout the internet to find the reason for
this speed discrepancy without any luck.

(I tried different methods, as well as the simple_differencing,the
enforce_invertibility and the enforce_stationarity option)


Can you help me or give me a good advise how to get a comparable fitting
time?


thanks in advance
Steffen