Hi,
> sessionInfo()
R version 3.0.0 (2013-04-03)
Platform: x86_64-unknown-linux-gnu (64-bit)
I am experiencing following problem. I am trying to fit arima(2,0,4)
model, and optim complaint that armafn provides it with infinite value.
I found that it is because sumlog (res[2L]) (see stats/R/arima.R line
64) is NaN, because of gain in function ARIMA_Like (see
stats/src/arima.c line 674) becomes negative and log() of this is
calculated.
However, writing down expression for log-likelihood for ARIMA I don't
see any poles in this expression, so I would rather consider that
something wrong with evaluation here.
How to find, what is wrong here?
p.s. Does anybody know what the following code is intended to do?
(ARIMA_Like stats/src/arima.c)
if(gain < 1e4) {
nu++;
ssq += resid * resid / gain;
sumlog += log(gain);
}
I mean there is some hard coded magic value 1e4...
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