[R-SIG-Finance] rugarch singular issue

[Jia Shao]

Hi Alexios,

I am working on ‘rugarch’ package recently and sometimes have
Error in robustvcv(fun = f, pars = ipars[estidx, 1], nlag = nlag, hess = fit$hessian, : object 'B' not found

Error in solve.default(A) :
  system is computationally singular: reciprocal condition number = 1.91379e-16

which is related to the file
rugarch-numderiv.R line 140

robustvcv = function(fun, pars, nlag = 0, hess, n, ...)

...

        Ainv = try( solve(A), silent = TRUE )

Because 'solve(A)’ think the matrix A is singular. Instead of using solve(A), using inv(A) available in the package ‘matlib’ will solve the issue.

Do you think this is a reasonable change in the package?

Best regards
Jia Shao

Top 15 UK University – five years running
Guardian University Guide 2016-2020


1st for Overseas Student Experiences
based on student trips abroad from HESA 2017/18 UK data


2nd for Teaching Excellence
Times Higher Education UK metrics ranking 2017


University of the Year for Student Experience 2019
The Times and Sunday Times Good University Guide 2019

NOTICE

This message and any files transmitted with it is intended for the addressee only and may contain information that is confidential or privileged. Unauthorised use is strictly prohibited. If you are not the addressee, you should not read, copy, disclose or otherwise use this message, except for the purpose of delivery to the addressee.

Any views or opinions expressed within this e-mail are those of the author and do not necessarily represent those of Coventry University.

	[[alternative HTML version deleted]]