R help - Sep 2004 - optim error in arima

Hello,

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?


Thanks,

Nate

Hi,


On Mon, 27 Sep 2004 09:02:39 -0700 (PDT), Nathaniel B. Derby
<nderby at u.washington.edu> wrote:
> Hello,
> 
> 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?
This probably means, that for your values of p, q, P, Q the arima
model is not valid arima model, i.e. it is not stationary.

Vaidotas