[R] error in arfima...
akshay kulkarni
@k@h@y_e4 @end|ng |rom hotm@||@com
Sun Jun 4 13:24:41 CEST 2023
Dear Martin,
REgrets to reply this late....
I am staring at a conundrum never before encountered in my experience with R:
LYGH[[201]]
[1] 45.40 3.25 6.50 2.15
> arfima(LYGH[[201]])
Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) :
NA/NaN/Inf in foreign function call (arg 5)
> arfima(c(45.40,3.25,6.50,2.15))
Call:
arfima(y = c(45.4, 3.25, 6.5, 2.15))
Coefficients:
d
4.583013e-05
sigma[eps] = 18.01252
a list with components:
[1] "log.likelihood" "n" "msg" "d" "ar"
[6] "ma" "covariance.dpq" "fnormMin" "sigma" "stderror.dpq"
[11] "correlation.dpq" "h" "d.tol" "M" "hessian.dpq"
[16] "length.w" "residuals" "fitted" "call" "x"
[21] "series"
Please note that the index of LYGH has changed from 202 to 201 due to some randomness in one of my function.
PLEASE HELP.
Output of dput LYGH[[201]]:
> dput(LYGH[[201]])
c(45.4, 3.25, 6.5, 2.14999999999998)
output of session info()
sessionInfo()
R version 4.1.2 (2021-11-01)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows Server x64 (build 14393)
Matrix products: default
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] parallel stats graphics grDevices utils datasets methods base
other attached packages:
[1] pbmcapply_1.5.1 imputeTS_3.3 forecast_8.17.0
loaded via a namespace (and not attached):
[1] Rcpp_1.0.7 urca_1.3-3 pillar_1.9.0 compiler_4.1.2 tseries_0.10-51
[6] tools_4.1.2 xts_0.12.1 nlme_3.1-153 lifecycle_1.0.3 tibble_3.2.1
[11] gtable_0.3.3 lattice_0.20-45 pkgconfig_2.0.3 rlang_1.1.0 cli_3.6.1
[16] rstudioapi_0.14 curl_4.3.2 xml2_1.3.3 dplyr_1.1.1 generics_0.1.3
[21] vctrs_0.6.1 gridtext_0.1.5 ggtext_0.1.2 lmtest_0.9-40 grid_4.1.2
[26] nnet_7.3-16 tidyselect_1.2.0 glue_1.6.2 R6_2.5.1 fansi_1.0.4
[31] ggplot2_3.4.2 TTR_0.24.3 magrittr_2.0.3 scales_1.2.1 quantmod_0.4.20
[36] timeDate_4021.106 colorspace_2.1-0 fracdiff_1.5-1 quadprog_1.5-8 utf8_1.2.3
[41] stinepack_1.4 munsell_0.5.0 zoo_1.8-10
PLease Also note:
arfima(c(45.4, 3.25, 6.5, 2.14999999999998))
Call:
arfima(y = c(45.4, 3.25, 6.5, 2.14999999999998))
Coefficients:
d
4.583013e-05
sigma[eps] = 18.01252
a list with components:
[1] "log.likelihood" "n" "msg" "d" "ar"
[6] "ma" "covariance.dpq" "fnormMin" "sigma" "stderror.dpq"
[11] "correlation.dpq" "h" "d.tol" "M" "hessian.dpq"
[16] "length.w" "residuals" "fitted" "call" "x"
[21] "series"
Many thanks in advance....
Thanking you,
Yours sincerely,
AKSHAY M KULKARNI
________________________________
From: Martin Maechler <maechler using stat.math.ethz.ch>
Sent: Thursday, June 1, 2023 1:28 PM
To: akshay kulkarni <akshay_e4 using hotmail.com>
Cc: R help Mailing list <r-help using r-project.org>
Subject: Re: [R] error in arfima...
>>>>> akshay kulkarni
>>>>> on Wed, 31 May 2023 20:55:33 +0000 writes:
> dear members,
> I am using arfima() from forecast package to model a time
> series. The following is the code:
>> LYGH[[202]]
> [1] 45.40 3.25 6.50 2.15
>> arfima(LYGH[[202]])
> Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) :
> NA/NaN/Inf in foreign function call (arg 5)
> I tried viewing .fdcov() with the following code:
> View(environment(fracdiff)$.fdcov)
> but I see no stop() with the above mentioned error message.
> Can you please help?
Well, as I am the maintainer of the *fracdiff* package,
I'm trying. OTOH, as we will see below, you did not give us enough
information to really help you...
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
Your problem is not (yet) reproducible (*)
I've done the following in an "empty" (i.e. freshly started) R
session, R 4.3.0:
----begin_R_transcript___save_as__arfima-ex.Rout__------------------------------
>
> lN <- loadedNamespaces()
> library(forecast)
Registered S3 method overwritten by 'quantmod':
method from
as.zoo.data.frame zoo
> options(width=75)
> setdiff(loadedNamespaces(), lN) # -- see all the *!^@...! forecast loads:
[1] "gtable" "dplyr" "tidyselect" "Rcpp" "parallel"
[6] "scales" "lattice" "ggplot2" "R6" "generics"
[11] "curl" "lmtest" "tibble" "munsell" "nnet"
[16] "forecast" "timeDate" "pillar" "rlang" "quantmod"
[21] "utf8" "urca" "quadprog" "cli" "magrittr"
[26] "xts" "grid" "nlme" "lifecycle" "fracdiff"
[31] "vctrs" "glue" "tseries" "zoo" "fansi"
[36] "colorspace" "TTR" "pkgconfig"
> arfima(c(45.40, 3.25, 6.50, 2.15))
Call:
arfima(y = c(45.4, 3.25, 6.5, 2.15))
Coefficients:
d
4.583013e-05
sigma[eps] = 18.01252
a list with components:
[1] "log.likelihood" "n" "msg"
[4] "d" "ar" "ma"
[7] "covariance.dpq" "fnormMin" "sigma"
[10] "stderror.dpq" "correlation.dpq" "h"
[13] "d.tol" "M" "hessian.dpq"
[16] "length.w" "residuals" "fitted"
[19] "call" "x" "series"
>
> sessionInfo()
R version 4.3.0 (2023-04-21)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Fedora Linux 36 (Thirty Six)
Matrix products: default
BLAS: /usr/local64.sfs/app/R/R-4.3.0-inst/lib/libRblas.so
LAPACK: /usr/lib64/liblapack.so.3.10.1
locale:
[1] LC_CTYPE=de_CH.UTF-8 LC_NUMERIC=C
[3] LC_TIME=en_US.UTF-8 LC_COLLATE=de_CH.UTF-8
[5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=de_CH.UTF-8
[7] LC_PAPER=de_CH.UTF-8 LC_NAME=C
[9] LC_ADDRESS=C LC_TELEPHONE=C
[11] LC_MEASUREMENT=de_CH.UTF-8 LC_IDENTIFICATION=C
time zone: Europe/Zurich
tzcode source: system (glibc)
attached base packages:
[1] graphics grDevices datasets stats utils methods base
other attached packages:
[1] forecast_8.21 fortunes_1.5-4 sfsmisc_1.1-15
loaded via a namespace (and not attached):
[1] gtable_0.3.3 dplyr_1.1.2 compiler_4.3.0
[4] tidyselect_1.2.0 Rcpp_1.0.10 parallel_4.3.0
[7] scales_1.2.1 lattice_0.21-8 ggplot2_3.4.2
[10] R6_2.5.1 generics_0.1.3 curl_5.0.0
[13] lmtest_0.9-40 tibble_3.2.1 munsell_0.5.0
[16] nnet_7.3-19 timeDate_4022.108 pillar_1.9.0
[19] rlang_1.1.1 quantmod_0.4.22 utf8_1.2.3
[22] urca_1.3-3 quadprog_1.5-8 cli_3.6.1
[25] magrittr_2.0.3 xts_0.13.1 grid_4.3.0
[28] nlme_3.1-162 lifecycle_1.0.3 fracdiff_1.5-2
[31] vctrs_0.6.2 glue_1.6.2 tseries_0.10-54
[34] zoo_1.8-12 fansi_1.0.4 colorspace_2.1-0
[37] TTR_0.24.3 tools_4.3.0 pkgconfig_2.0.3
>
##---end__R_transcript---------------------------------------------------------------
Note that your error message pointed me to my (old, but still
fine) package {fracdiff} with its principal function fracdiff()
around which arfima() is a user-friendly and
generalization wrapper.
In other words arfima() calls fracdiff::fracdiff() and the error
happens there --- for you, but not for me, if I try to use the
same data as you.
I see that you must have found that too, because you mentioned
View(environment(fracdiff)$.fdcov)
Maybe you need to
update.packages()
{which should re-install R packages you have installed but which
have become outdated in the mean time}
If the error persists, please send us the output of
1)
dput(LYGH[[202]])
so we get your exact data
2)
sessionInfo()
so we get much info about your R "setup"
.... last but not least: If you are really calling arfima()
with a time series of length 4 (which your LYGH[[202]] above
seems to suggest)
then you really need to learn a bit about the tools you are
using: It really does not make any sense to fit a somewhat
sophisticated time-series model (or *any* time-series model, I'd say)
to a "series" with 4 values.
Best regards,
Martin
--
Martin Maechler
ETH Zurich and R Core team
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