[R] Errors using nlme's gls with autocorrelation

[Prof Brian Ripley]

On Sat, 3 May 2008, Andrew Robinson wrote:

> You're running out of RAM.  Your options are
>
> 1) run code on a machine with more RAM
>
> 2) try the model on fewer observations
>
> 3) try a simpler model.

4) Use a more efficient function -- arima() in stats, for example.

>
> Andrew
>
> On Fri, May 02, 2008 at 12:37:15PM -0700, zerfetzen wrote:
>>
>> Hi,
>> I am trying out a generalized least squares method of forecasting that
>> corrects for autocorrelation.  I downloaded daily stock data from Yahoo
>> Finance, and am trying to predict Close (n=7903).  I have learned to use
>> date functions to extract indicator variables for Monday - Friday (and
>> Friday is missing in the model to prevent it from becoming full rank).  When
>> I run the following code...
>>
>>> library(nlme)
>>> MyModel <- gls(Close ~ Monday + Tuesday + Wednesday + Thursday,
>> 	correlation=corARMA(p=2), data=MyData, method="ML")
>>
>> ...I get the following error...
>>
>> Error in corFactor.corARMA(object) :
>>   Calloc could not allocate (62457409 of 8) memory
>>
>> ...Does anybody know what I'm doing wrong?  I appreciate any help.  Thanks.
>> --
>> View this message in context: http://www.nabble.com/Errors-using-nlme%27s-gls-with-autocorrelation-tp17026417p17026417.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
>> ______________________________________________
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>> and provide commented, minimal, self-contained, reproducible code.
>
> -- 
> Andrew Robinson
> Department of Mathematics and Statistics            Tel: +61-3-8344-6410
> University of Melbourne, VIC 3010 Australia         Fax: +61-3-8344-4599
> http://www.ms.unimelb.edu.au/~andrewpr
> http://blogs.mbs.edu/fishing-in-the-bay/
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595