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st: compiler for likelihood routines?
I've programmed a ml estimation with method "d2".
Computation of the Hessian is quite tricky though and a full call of the likelihood including computation of the gradient and the Hessian still takes quite a bit of time, so that one maximisation can easily run for hours.
Hours rather than days is of course acceptable, but I am still wondering whether there is a way to speed things up e.g. by compiling the likelihood routine?
Does anyone know whether this is possible?
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