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eigene
2011 Jul 20
0
The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()
...t;- KalmanLike(x,mod=mod,fast=FALSE)
sbis <- KalmanLike(x,modbis)
ster <- KalmanLike(x,modter)
test12 <- all.equal(out$Pn,Q0bis)
test13 <- all.equal(out$Pn,Q0ter)
test23 <- all.equal(Q0bis,Q0ter)
list(eigen=min(eigen(out$Pn)$value),eigenbis=min(eigen(Q0bis)$value),eigenter=min(eigen(Q0ter)$value),test12=test12,test13=test13,test23=test23,s=s,sbis=sbis,ster=ster)
}
And the test on the values of phi and theta above:
> test(phi,theta)
$eigen
[1] -19.15890
$eigenbis
[1] -9.680598e-23
$eigenter
[1] 1.859864e-23
$test12
[1] "Mean relative difference: 0.4255719&...