Re: [Gretl-devel] NLS settings inside arima
On Sat, 24 Nov 2018, oleg_komashko(a)ukr.net wrote:
Dear Allin,
It seems while tolerance for Hannan - Rissanen
was resetted, this is not so for models that
require non-linear autoregression:
open AWM.gdt --quiet
logs TFT
arima 3 0 0;1 0 0; TFT --verbose
arima 3 0 0;1 0 0; l_TFT --verbose
produces
? open AWM.gdt --quiet
Read datafile /usr/local/share/gretl/data/misc/AWM.gdt
? logs TFT
Warning: generated missing values
? arima 3 0 0;1 0 0; TFT --verbose
NLS: failed to converge after 1204 iterations
We are in fact setting a sloppy tolerance when we use NLS in
arma_init, since quite recently -- see arma_init.c, line 1401:
libset_set_double(NLS_TOLER, 1.0e-5);
That can be compared with the default, namely pow(DBL_EPSILON, .75),
which is about 1.82e-12.
Perhaps it should be sloppier still. But gretl is open source, no
need to guess what we're doing or not doing!
Allin