I am using arima(x, order=c(p,0,q)) function for my project, which deals with a set of large differenced time series data, data size varies from 8000 to 70000. I checked their stationarity before applying arima. Occasionally, arima(x, order=c(p,0,q)) gives me error like following (which stops script running): Error in optim(init[mask], armafn, method = optim.method, Hessian = TRUE, : non-finite finite-difference value [16] The last [16] would change anyting from 1 to 16. Using argument method="CSS", or "ML", or default did not help. I am using the newest R version 3.1.2 for windows 7. I have done a lot of research on internet for this Error Message, and tried a lot of suggested solutions too. But the results are negative. Then, finally, I used following line which solved my problem. arima(x, order=c(p,0,q), optim.method="Nelder-Mead") Hope this helps others with similar situations. Shuxiang Albert Li [[alternative HTML version deleted]]