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
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