[R] optim error in arima

Nathaniel B. Derby nderby at u.washington.edu
Mon Sep 27 18:02:39 CEST 2004


I'm fitting a series of ARIMA models to a data set to compare fits.  After taking the logs of the data and then differencing them to induce stationarity, I execute

arima( y, order=c( p, 0, q ), seasonal=list( order=c( P, 0, Q ), period=7 ) )

for various values of p, q, P and Q.  For one set of these values, I get

Error in optim(init[mask], armafn, method = "BFGS", hessian = TRUE ... :
         non-finite finite-difference value [0]

which tells me that when computing derivatives of the objective function (armafn) by finite differencing, one of the values is NA, +Inf or -Inf.  Any ideas?  I would like to print some values of armafn, but how do I get that from my data set, and what would I look for?



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