On Sat, 03 Apr 2004 21:34:25 -0400, you wrote:
>Defining the following:
>
> set.seed(123)
>
> kalmanTorture <- function(iter) {
> x <- arima.sim(model = list(ar=0.9, ma=0.5),n=150 )
> x[10:20] <- NA
> mod <- arima(x, order=c(1,0,1) )
> for (i in 1:iter) {
> smooth <- KalmanSmooth(x, mod=mod$model)$smooth
> if (any(is.na(smooth))) stop("NA on iteration ",i) }
>}
>
>and running in R1.9.0beta (equal in R1.8.1), windows XP, precompiled
>binaries:
>
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 147
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 3
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 2
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 3
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 1
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 4
>> kalmanTorture(1000)
>Error in kalmanTorture(1000) : NA on iteration 1
>.
>.
>.
>Starting a new session, using the same set.seed(123)
>gives another sequence of iteration numbers where failing.
I can reproduce this. The problem happens in arima.c where the
KalmanSmooth function is, but I can't see why yet.
Duncan Murdoch
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