It was on the previous message , greene5_1
I think, default init values here have roots inside the unit circle
I propose the following
/*
A method for safe initial values
Whatever it be it can give roots inside the unit circle
This can be easily agjusted
Hansl has filter() so expandig factored polynomials
is not a problem
Suppose, we have found (1,-phi_1, -phi_k)
as init. values whatever way using non-linear AR,
conditional loglic, etc
1) check absolute value of roots
2) factor
3) scale improper roots to have abs. value, say 1.01
4) expand
this way we would have a new set of phi_1,..,phi_k
which would be in admissible domain
*/
Oleh
Another problem is rescaling BFGS
when init values are very good
try
open bjg.gdt
arima 2 1 2; 2 1 2; lg
then use
arima 2 1 2; 2 1 2; lg --x-12-arima
they use iterative GLS instead
insert them into set initvals:
they are very close to solutions
but the time gain is very moderate
It seems there are not very
efficient algoritm when
iteration step bumps into
the border of admissible area
On Wed, 21 Feb 2018, oleg_komashko@ukr.net wrote:
> The bug is very small, run
>
> ma = {0.00001,0.00001}
> set initvals ma
> catch arma 1 1; pop --nc --opg
>
> ma = {-0.9,-0.9}
> set initvals ma
> catch arma 1 1; pop --nc --opg
>
> ma = {0,0}
> set initvals ma
> catch arma 1 1; pop --nc --opg
>
> set initvals auto
> catch arma 1 1; pop --nc --opg
Using what dataset, please?
Allin
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