Re: [Gretl-devel] a very strange case of arima (poor)convergence
On Sun, 28 Oct 2018, Riccardo (Jack) Lucchetti wrote:
On Fri, 26 Oct 2018, oleg_komashko(a)ukr.net wrote:
>> Scrub the redundant "const" and see what happens.
> I had scrubbed before the first message
>
> I think this is because of 197 use only scaling
> to mean(scaled_y) = 10 and does not use centering
Weird as it may seem, the problem arises because of subsampling. if TROUBLE
== 1, the gradient is not computed correctly (as you can see from the BFGS
iterations).
<hansl>
open bad_data.gdt
TROUBLE = 0
if TROUBLE
smpl 1 194
endif
arima 3 0 0; 1 0 0; diff_series const y_one y_two --verbose
</hansl>
Hmm, excluding the last 6 observations makes a huge difference to the
scaling factor applied to diff_series. I'll take a closer look when I
get time later today.
Allin