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ogrisel
ogrisel commented Nov 13, 2020

Most functions in scipy.linalg functions (e.g. svd, qr, eig, eigh, pinv, pinv2 ...) have a default kwarg check_finite=True that we typically leave to the default value in scikit-learn.

As we already validate the input data for most estimators in scikit-learn, this check is redundant and can cause significant overhead, especially at predict / transform time. We should probably a

ChadFulton
ChadFulton commented Sep 11, 2019

Collection of follow-ups to #5827. These can/should be broken out into individual PRs. Many are relatively straightforward and would make a good first PR.

General

  • Documentation (none was added in original PR).
  • Release notes.
  • Example notebook.
  • Double-check how sm.tsa.arima.ARIMA works with fix_params (it should fail except when the fit method is statespace

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