[R-SIG-Mac] NaN bug with arima() on Mac

[Simon Urbanek]

Nikolas,

what makes you think it is a bug? It is an optimization process, so the objective function is free to produce NaN for unsuitable parameters so it can steer the optimization away from such areas.

Cheers,
Simon


> On Nov 23, 2021, at 2:29 AM, Kuschnig, Nikolas <nikolas.kuschnig using wu.ac.at> wrote:
> 
> Dear all,
> 
> There seems to be a small bug with `arima()` on Mac. For some very specific data
> I get the following warning:
> 	Warning message:
> 	In log(s2) : NaNs produced
> This seems to stem from `.Call(C_ARIMA_Like, x, Z, 0L, FALSE)` in the `armafn()`
> objective function. This warning does not occur on Linux or Windows systems or
> when using the `arima0()` function.
> Below is an example that I hope reproduces (please excuse the dependency, I only
> encountered it with this data, partly due to my lack of a Mac). Note that the
> warning in question occurs during estimation, printing always induces a warning.
> 
> 
> # install.packages("BVAR")
> library("BVAR")
> 
> x <- fred_qd[1:243, 
> c("GDPC1", "PCECC96", "GPDIC1", "HOANBS", "GDPCTPI", "FEDFUNDS")]
> x <- fred_transform(x, codes = c(4, 4, 4, 4, 4, 1))
> Y <- as.matrix(x)[6:nrow(x), ]
> 
> ar <- apply(Y, 2, arima, order = c(5, 0, 0)) # Warning only on Mac
> ar0 <- apply(Y, 2, arima0, order = c(5, 0, 0)) # No warning
> 
> 
> Does anyone have any more information on this? Thanks for the help!
> 
> Best,
> -- 
> Nikolas Kuschnig
> 
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