[R] problem in arfima in forecast...

[akshay kulkarni]

Dear members,
                             I am using the forecast package for arfima modelling. THe following is the code:

> arfima(ygrpch(OHLCDataEP[[1]]))

Call:
  arfima(y = ygrpch(OHLCDataEP[[1]]))

*** Warning during (fdcov) fit: unable to compute correlation matrix; maybe change 'h'

Coefficients:
        d    ma.ma1
0.1745253 0.1600765
sigma[eps] = 34.4493
a list with components:
 [1] "log.likelihood"  "n"               "msg"             "d"               "ar"
 [6] "ma"              "covariance.dpq"  "fnormMin"        "sigma"           "stderror.dpq"
[11] "correlation.dpq" "h"               "d.tol"           "M"               "hessian.dpq"
[16] "length.w"        "residuals"       "fitted"          "call"            "x"
[21] "series"

What does the warning say? Is it Ok to proceed with it if the correlation matrix can't be caclulated? I just want the prediction, and forecast() is working fine:

> forecast(arfima(ygrpch(OHLCDataEP[[1]])), h = 1)
    Point Forecast     Lo 80    Hi 80     Lo 95    Hi 95
188       26.01569 -17.96402 69.99539 -41.24547 93.27684

I just want the point forecast. Is there any problem with arfima() as I am using it?

THanking you,
Yours sincerely,
AKSHAY M KULKARNI

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