Re: [R] R-help: gls with correlation=corARMA
Thank you for your extra efforts in pinpointing the source of my problem. That is a smart workaround, to reduce the parameters until invertibility conditions are satisfied. The concern in my case is what effect the constant will have on the covariance matrix and the resulting estimates for the slope in the model. I might look at other cases where the invertibility condition was satisfied and compare the slope estimates and standard errors for the unscaled and scaled time series parameters. The example below was one of many series. I should have been quicker to realize that someone might use the same form as my example to mess with someones machine. I have used tryCatch over the weekend to skip the gls fit in cases where this error occurred (4282 out of 187283 series). There were no errors when I fit a (0,0,1)x(0,0,1) model (e.g. q=13), instead of q=25. Thank you again for your time and explanation. Sincerely, Steve Gaffigan On Sun, 11 Dec 2005, Spencer Graves wrote: The error message is misleading. It should say something like, Error in corARMA(q = 25, value = -ma.coefs, fixed = T) : The moving average process specified is not invertible, having roots outside the unit circle. Instead it says, Error in corARMA(q = 25, value = -ma.coefs, fixed = T) : All parameters must be less than 1 in absolute value. I'm copying Doug Bates on this reply in case he wants to try to fix this. I got an answer just by shrinking your ma.coefs' by a factor of 0.8: mod.gls=gls(obs~model,correlation=corARMA(q=25,value=0.8*ma.coefs,fixed=T), method=ML) This seemed to produce an answer for me; it least it did not give me an error message. In case you are interested in how I determined this, I will outline the steps I took in analyzing this problem. First, I copied the web address you gave for the data into a web browser to make sure it was honest text and not something that might corrupt my computer. You are to be commended for providing an example that allowed me to replicate your problem. If the example had been smaller and simpler, it would have made my job easier and might have gotten you an earlier reply from someone else. Then I ran your code and got the error you reported: ... mod.gls=gls(obs~model, + correlation=corARMA(q=25,value=ma.coefs,fixed=T), + method=ML) Error in corARMA(q = 25, value = ma.coefs, fixed = T) : All parameters must be less than 1 in absolute value Next, I considered ways to simplify this problem and still get the same error message. I decided to try the corARMA part by itself: corARMA(q=25,value=ma.coefs,fixed=T) Error in corARMA(q = 25, value = ma.coefs, fixed = T) : All parameters must be less than 1 in absolute value Progress. Then I typed corARMA at a command prompt and copied the code into a scrit file. The I typed debug(corARMA) and repeated the corARMA(...) command. After tracing through the corARMA code line by line, I found that the error message is issued from '.C(ARMA_unconstCoef, ...)'. I gave that up: This approach did not help in this case, thoug it has in others. Then I tried some simpler examples: 'corARMA(q=1,value=.5,fixed=T)' and 'corARMA(q=1,value=-.5,fixed=T)' did NOT give me that error message, but 'corARMA(q=2,value=c(.8, -.5),fixed=T)' did. Then I checked a time series book for the conditions for invertibility. I found that all the roots of the characteristic equation must lie outside the unit circle. So I checked the following: round(Mod(polyroot(c(1, ma.coefs))), 3) [1] 1.069 0.995 0.995 0.995 0.995 0.995 0.995 0.995 0.995 1.069 1.069 1.069 [13] 0.995 0.995 0.995 0.995 1.069 1.069 1.069 1.069 1.069 1.069 1.069 1.069 [25] 1.930 Then I shrunk the ma.coefs' by 0.999 and got larger roots but still some inside the unit circle. So I tried 0.99 and 0.9 with the same result. With 0.8, all the roots were outside the unit circle. hope this helps. spencer graves [EMAIL PROTECTED] wrote: Dear Madams/Sirs, Hello. I am using the gls function to specify an arma correlation during estimation in my model. The parameter values which I am sending the corARMA function are from a previous fit using arima. I have had some success with the method, however in other cases I get the following error from gls: All parameters must be less than 1 in absolute value. None of the parameters (individually) are greater than or equal to 1. Please copy the code below into R to reproduce the error. Thanks. Is my logic incorrect? In the corARMA function, there's a call to pre-compiled C code with the name ARMA_unconstCoef. Is the source code for such compiled code freely available for download? Thanks for your suggestions. Sincerely Steve Gaffigan
Re: [R] R-help: gls with correlation=corARMA
The error message is misleading. It should say something like, Error in corARMA(q = 25, value = -ma.coefs, fixed = T) : The moving average process specified is not invertible, having roots outside the unit circle. Instead it says, Error in corARMA(q = 25, value = -ma.coefs, fixed = T) : All parameters must be less than 1 in absolute value. I'm copying Doug Bates on this reply in case he wants to try to fix this. I got an answer just by shrinking your ma.coefs' by a factor of 0.8: mod.gls=gls(obs~model,correlation=corARMA(q=25,value=0.8*ma.coefs,fixed=T), method=ML) This seemed to produce an answer for me; it least it did not give me an error message. In case you are interested in how I determined this, I will outline the steps I took in analyzing this problem. First, I copied the web address you gave for the data into a web browser to make sure it was honest text and not something that might corrupt my computer. You are to be commended for providing an example that allowed me to replicate your problem. If the example had been smaller and simpler, it would have made my job easier and might have gotten you an earlier reply from someone else. Then I ran your code and got the error you reported: ... mod.gls=gls(obs~model, + correlation=corARMA(q=25,value=ma.coefs,fixed=T), + method=ML) Error in corARMA(q = 25, value = ma.coefs, fixed = T) : All parameters must be less than 1 in absolute value Next, I considered ways to simplify this problem and still get the same error message. I decided to try the corARMA part by itself: corARMA(q=25,value=ma.coefs,fixed=T) Error in corARMA(q = 25, value = ma.coefs, fixed = T) : All parameters must be less than 1 in absolute value Progress. Then I typed corARMA at a command prompt and copied the code into a scrit file. The I typed debug(corARMA) and repeated the corARMA(...) command. After tracing through the corARMA code line by line, I found that the error message is issued from '.C(ARMA_unconstCoef, ...)'. I gave that up: This approach did not help in this case, thoug it has in others. Then I tried some simpler examples: 'corARMA(q=1,value=.5,fixed=T)' and 'corARMA(q=1,value=-.5,fixed=T)' did NOT give me that error message, but 'corARMA(q=2,value=c(.8, -.5),fixed=T)' did. Then I checked a time series book for the conditions for invertibility. I found that all the roots of the characteristic equation must lie outside the unit circle. So I checked the following: round(Mod(polyroot(c(1, ma.coefs))), 3) [1] 1.069 0.995 0.995 0.995 0.995 0.995 0.995 0.995 0.995 1.069 1.069 1.069 [13] 0.995 0.995 0.995 0.995 1.069 1.069 1.069 1.069 1.069 1.069 1.069 1.069 [25] 1.930 Then I shrunk the ma.coefs' by 0.999 and got larger roots but still some inside the unit circle. So I tried 0.99 and 0.9 with the same result. With 0.8, all the roots were outside the unit circle. hope this helps. spencer graves [EMAIL PROTECTED] wrote: Dear Madams/Sirs, Hello. I am using the gls function to specify an arma correlation during estimation in my model. The parameter values which I am sending the corARMA function are from a previous fit using arima. I have had some success with the method, however in other cases I get the following error from gls: All parameters must be less than 1 in absolute value. None of the parameters (individually) are greater than or equal to 1. Please copy the code below into R to reproduce the error. Thanks. Is my logic incorrect? In the corARMA function, there's a call to pre-compiled C code with the name ARMA_unconstCoef. Is the source code for such compiled code freely available for download? Thanks for your suggestions. Sincerely Steve Gaffigan data=read.table(http://ak.aoos.org/data/sample_070989.dat,header=T) attach(data) mod.ols=lm(obs~model) mod.sma=arima(residuals(mod.ols),order=c(0,0,1),seasonal=list(order=c(0,0,2),period=12)) theta.1=mod.sma$coef[1] THETA.1=mod.sma$coef[2] THETA.2=mod.sma$coef[3] ma.coefs=c(-theta.1,double(10),-THETA.1,theta.1*THETA.1,double(10),-THETA.2,theta.1*THETA.2) library(nlme) mod.gls=gls(obs~model,correlation=corARMA(q=25,value=ma.coefs,fixed=T),method=ML) detach(data) __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html -- Spencer Graves, PhD Senior Development Engineer PDF Solutions, Inc. 333 West San Carlos Street Suite 700 San Jose, CA 95110, USA [EMAIL PROTECTED] www.pdf.com http://www.pdf.com Tel: 408-938-4420 Fax: 408-280-7915 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide!
[R] R-help: gls with correlation=corARMA
Dear Madams/Sirs, Hello. I am using the gls function to specify an arma correlation during estimation in my model. The parameter values which I am sending the corARMA function are from a previous fit using arima. I have had some success with the method, however in other cases I get the following error from gls: All parameters must be less than 1 in absolute value. None of the parameters (individually) are greater than or equal to 1. Please copy the code below into R to reproduce the error. Thanks. Is my logic incorrect? In the corARMA function, there's a call to pre-compiled C code with the name ARMA_unconstCoef. Is the source code for such compiled code freely available for download? Thanks for your suggestions. Sincerely Steve Gaffigan data=read.table(http://ak.aoos.org/data/sample_070989.dat,header=T) attach(data) mod.ols=lm(obs~model) mod.sma=arima(residuals(mod.ols),order=c(0,0,1),seasonal=list(order=c(0,0,2),period=12)) theta.1=mod.sma$coef[1] THETA.1=mod.sma$coef[2] THETA.2=mod.sma$coef[3] ma.coefs=c(-theta.1,double(10),-THETA.1,theta.1*THETA.1,double(10),-THETA.2,theta.1*THETA.2) library(nlme) mod.gls=gls(obs~model,correlation=corARMA(q=25,value=ma.coefs,fixed=T),method=ML) detach(data) __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
[R] R-help: gls with correlation=corARMA
Dear Madams/Sirs, Hello. I am using the gls function to specify an arma correlation during estimation in my model. The parameter values which I am sending the corARMA function are from a previous fit using arima. I have had some success with the method, however in other cases I get the following error from gls: All parameters must be less than 1 in absolute value. None of the parameters (individually) are greater than or equal to 1. Please copy the code below into R to reproduce the error. Thanks. Is my logic incorrect? In the corARMA function, there's a call to pre-compiled C code with the name ARMA_unconstCoef. Is the source code for such compiled code freely available for download? Thanks for your suggestions. Sincerely Steve Gaffigan data=read.table(http://ak.aoos.org/data/sample_070989.dat,header=T) attach(data) mod.ols=lm(obs~model) mod.sma=arima(residuals(mod.ols),order=c(0,0,1),seasonal=list(order=c(0,0,2),period=12)) theta.1=mod.sma$coef[1] THETA.1=mod.sma$coef[2] THETA.2=mod.sma$coef[3] ma.coefs=c(-theta.1,double(10),-THETA.1,theta.1*THETA.1,double(10),-THETA.2,theta.1*THETA.2) library(nlme) mod.gls=gls(obs~model,correlation=corARMA(q=25,value=ma.coefs,fixed=T),method=ML) detach(data) -- Alaska Ocean Observing System School of Fisheries and Ocean Sciences : University of Alaska Fairbanks __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
