Problem Solved: optim fails when using arima

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

Problem Solved: optim fails when using arima

Prof J C Nash (U30A)
I would not say it is fully "solved" since in using Nelder-Mead
you did not get the Hessian.

The issue is almost certainly that there is an implicit bound due to
log() or sqrt() where a parameter gets to be near zero and the finite
difference approximation of derivatives steps over the cliff. Probably
some NM steps are doing the same, but returning a large function value
which will allow NM to "work", but possibly make it inefficient.

JN

On 15-02-12 06:00 AM, [hidden email] wrote:

> Message: 30
> Date: Wed, 11 Feb 2015 08:10:03 -0700
> From: Albert Shuxiang Li <[hidden email]>
> To: [hidden email]
> Subject: [R] Problem Solved: optim fails when using arima
> Message-ID:
> <[hidden email]>
> Content-Type: text/plain; charset="UTF-8"
>
> I am using arima(x, order=c(p,0,q)) function for my project, which deals
> with a set of large differenced time series data, data size varies from
> 8000 to 70000. I checked their stationarity before applying arima.
> Occasionally, arima(x, order=c(p,0,q)) gives me error like following (which
> stops script running):
>
> Error in optim(init[mask], armafn, method = optim.method, Hessian = TRUE, :
> non-finite finite-difference value [16]
>
> The last [16] would change anyting from 1 to 16. Using argument
> method="CSS", or "ML", or default did not help. I am using the newest R
> version 3.1.2 for windows 7.
>
> I have done a lot of research on internet for this Error Message, and tried
> a lot of suggested solutions too. But the results are negative. Then,
> finally, I used following line which solved my problem.
>
> arima(x, order=c(p,0,q), optim.method="Nelder-Mead")
>
> Hope this helps others with similar situations.
>
> Shuxiang Albert Li
>
> [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.