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sbin
2011 Jul 20
0
The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()
...,theta,NULL)
Q0bis <- Q0bis(phi,theta)
Q0ter <- Q0ter(phi,theta)
mod <- out
modbis <- out
modter <- out
modbis$Pn <- Q0bis
modter$Pn <- Q0ter
set.seed(1)
x <- arima.sim(100,model=list(ar=phi,ma=theta))
s <- 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=test...