Re: [Gretl-devel] arima issues
On Sat, 13 Oct 2018, Sven Schreiber wrote:
Am 13.10.2018 um 13:35 schrieb oleg_komashko(a)ukr.net:
> Dear all,
> Below is a script illustrating
> some problems with arima command
Hi Oleh,
excellent testing! This must come from the internal switch to the AS197
algorithm. Good that you found those bugs.
Good find, yes, but I think there's little if anything here
associated with the switch from native Kalman to AS197: the problems
are mostly either (a) of long standing and somehow never before
revealed or (b) associated with our "new" method of fixing up
out-of-bounds initializations of the ARMA parameters.
I might add that the new(ish) initialization fix-up was shown by
Jack and myself to give much better results in most of the ARIMA
test cases posted by Oleh a while back. However, it seems we missed
some counter-examples (notably including the crash consequent upon
giving an all-zero initialization, which is now fixed).
Allin