>I've just adjusted the first test to abs(mean(y)) > 200
Dear Allin,
1) Do you have examples when doing transformation is
worse than not doing?
2)
The cases I cited earlier for transformation were
from just intuition: I have found them at the very first try.
This way means I have not find all cases for transformation
pop is strongly trended: for such variables mean/sd ratio
is not very meaninful
The situation with inadequate lnl and larege gradient norm
at converging, and bad z-statistics are much more common
then non-convergence
The script attached illustrate it
It should be run before last changes
Ad hoc setting area from non-transformation
is a solution up to I would send a new counter-example
As for me, I'd prefer a new (standard) option, say --transf-y,
or so to force the transformation
Also, bad z-tatistics without --stdx
starts in not exotic cases
Oleh
On Sat, 10 Nov 2018, oleg_komashko@ukr.net wrote:
> Dear Allin,
>
> From the previos discussion
> I came to think
> arima uses standardize(y) + 1
>
> But it is not so:
>
> open greene5_1.gdt
> set bfgs_verbskip 999
>
> pops = (pop-mean(pop))/sd(pop)+1
> catch arima 0 0; 1 0 ; pop --verbose
> arima 0 0; 1 0; pop --x-12-arima
> arima 0 0; 1 0; pops --x-12-arima
> arima 0 0; 1 0; pops
>
> What is current scaling (if any)?
The scaling is indeed "standardize(y) + 1", but as things stand we
don't apply it in all cases. The criterion for doing so has been:
abs(mean(y)) > 250 || abs(mean(y)) < 0.01 || sd(y)/abs(mean(y)) < 0.01
In git, I've just adjusted the first test to abs(mean(y)) > 200, which
catches the "pop" case.
Allin