R help - Nov 2011 - Error in eigen(a$hessian) : infinite or missing values in 'x'

Dear R-users,

I'm estimating a two- dimensional state-space model using the FKF package.
The resulting log likelihood function is maximized using auglag from the
Alabama package. The procedure works well for a subset of my data, but if I
try to use the entire data set I get the following error message.

Error in eigen(a$hessian) : infinite or missing values in 'x'

What's even more confusing is that if I estimate the model for a sample say
data[1:200,] then there's convergence. If I estimate it for data[1:300, ]
then I get the error message. But if I estimate the model for
data[201,300]  it once again converges.

Can anyone please enlighten me;  where does this error stem from and what
can I do about it?

Thank you in advance.

Kristian

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On 05.11.2011 15:08, Kristian Lind wrote:
> Dear R-users,
>
> I'm estimating a two- dimensional state-space model using the FKF
package.
> The resulting log likelihood function is maximized using auglag from the
> Alabama package. The procedure works well for a subset of my data, but if I
> try to use the entire data set I get the following error message.
>
> Error in eigen(a$hessian) : infinite or missing values in 'x'
>
> What's even more confusing is that if I estimate the model for a sample
say
> data[1:200,] then there's convergence. If I estimate it for data[1:300,
]
> then I get the error message.

Since there is a missing or infinite value in it?
> But if I estimate the model for
> data[201,300]  it once again converges.
data[201,300] is exactly one entry (row 201, column 300).

Uwe Ligges

>
> Can anyone please enlighten me;  where does this error stem from and what
> can I do about it?
>
> Thank you in advance.
>
> Kristian
>
> 	[[alternative HTML version deleted]]
>
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