I am not clear on what is happening with parscale in optim It seems that
scaling the parameters will produce unpredictable results in a non-linear
function (which is the purpose of optim right?)
The documentation states:
parscale
A vector of scaling values for the parameters. Optimization is performed on
par/parscale and these should be comparable in the sense that a unit change in
any element produces about a unit change in the scaled value.
I am not sure how it can be guaranteed that this will be case. I first saw a
non-unity parscale in the ARIMA code where I see code like:
ses <- summary(fit)$coefficients[, 2]
parscale <- c(parscale, 10 * ses)
Comments?
Thank you.
Kevin
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