[R-sig-ME] R: gls() funcion after R upgrade
Fabio Fanoni
|@b|o@|@non| @end|ng |rom pop@o@|t
Tue Feb 19 17:02:21 CET 2019
Dear Phillip,
thanks for the reply
I tried both to re-install the package nlme (and all its dependencies) and to re-install R as a whole but I always get the same error message
The problem seems to be related to the varExp() variance function structures on a 32-bit windows platform
With 64-bit windows platform, the old version 3.3.2 and the new version 3.5.2 produce the same results
At the same time, the varPower() function always produces the same results regardless of the windows platform or version of R
The following table shows the coefficients obtained according to the platform (32 bit / 62 bit), version of R and variance function
Platform Version weights ITOD EU_CH
windows 32 bit 3.3.2 varExp() -0.1053291 -0.4406068
windows 32 bit 3.5.2 varExp() <NA> <NA>
windows 64 bit 3.3.2 varExp() -0.3011427 -0.5537158
windows 64 bit 3.5.2 varExp() -0.3011427 -0.5537158
windows 32 bit 3.3.2 varPower() -0.3138869 -0.5010393
windows 32 bit 3.5.2 varPower() -0.3138869 -0.5010393
windows 64 bit 3.3.2 varPower() -0.3138868 -0.5010394
windows 64 bit 3.5.2 varPower() -0.3138868 -0.5010394
linux 64 bit 3.5.2 varExp() -0.3123153 -0.4979789
These values differ from what I reported in the previous e-mail. For a “copy and paste” mistake, in the previous e-mail I reported the results obtained with the varPower() function instead of varExp() function.
Here is the correct output
> gls(as.formula(f),correlation=corARMA(p=2,q=3,fixed=FALSE),data=db,weights=varExp(),method="ML")
Generalized least squares fit by maximum likelihood
Model: as.formula(f)
Data: db
Log-likelihood: 12.11128
Coefficients:
ITOD EU_CH
-0.1053291 -0.4406068
Correlation Structure: ARMA(2,3)
Formula: ~1
Parameter estimate(s):
Phi1 Phi2 Theta1 Theta2 Theta3
0.6485554 -0.1750409 0.9450232 0.9566344 0.9566288
Variance function:
Structure: Exponential of variance covariate
Formula: ~fitted(.)
Parameter estimates:
expon
-0.0007047246
Degrees of freedom: 71 total; 69 residual
Residual standard error: 0.7740528
On the 3.5.2 version of R, the sessionInfo() show "Matrix products: default" whereas in the 3.3.2 version this message does not appear.
If I set options(matprod="internal") on the 3.5.2 I avoid the error but the results I get are very different from those of version 3.3.2
If I use the REML method instead of the ML I get much more similar results but, at the same time, very different from those I would get with the same method on the version 3.2.2
Maybe these clues can inspire a solution?
Fabio
-----Messaggio originale-----
Da: Alday, Phillip <Phillip.Alday using mpi.nl>
Inviato: martedì 19 febbraio 2019 00:44
A: Fabio Fanoni <fabio.fanoni using popso.it>; r-sig-mixed-models using r-project.org
Oggetto: Re: [R-sig-ME] gls() funcion after R upgrade
Dear Fabio,
Your example runs fine on my machine, and I have a comparable R and nlme version. Have you tried re-installing nlme and all its dependencies?
install.packages("nlme",dependencies=TRUE)
Sometimes dependencies can get out of sync and this can lead to weird errors. (I've had this happen when lme4 was compiled against a different Rcpp version than Matrix.)
As a sidebar, I get different estimates than your old output had:
>
gls(as.formula(f),correlation=corARMA(p=2,q=3,fixed=FALSE),data=db,weights=varExp(),method="ML")
Generalized least squares fit by maximum likelihood
Model: as.formula(f)
Data: db
Log-likelihood: 11.74371
Coefficients:
ITOD EU_CH
-0.3123153 -0.4979789
Correlation Structure: ARMA(2,3)
Formula: ~1
Parameter estimate(s):
Phi1 Phi2 Theta1 Theta2 Theta3
0.7542011 -0.2467866 0.8989841 0.9444138 0.9092150 Variance function:
Structure: Exponential of variance covariate
Formula: ~fitted(.)
Parameter estimates:
expon
-0.01497128
Degrees of freedom: 71 total; 69 residual Residual standard error: 0.817064
(Note that "power" is now called "expon" for "exponent".) The small differences in the exponent and the coefficients could be numerical issues, but the big differences in ARMA seem a bit worrying. The log-likelihood of 'my' fit is better, but the residual standard error is worse.
Best,
Phillip
> sessionInfo()
R version 3.5.2 (2018-12-20)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Linux Mint 19.1
Matrix products: default
BLAS: /usr/lib/x86_64-linux-gnu/openblas/libblas.so.3
LAPACK: /usr/lib/x86_64-linux-gnu/libopenblasp-r0.2.20.so
::snip::
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] nlme_3.1-137
loaded via a namespace (and not attached):
[1] compiler_3.5.2 grid_3.5.2 lattice_0.20-38
On 11/2/19 9:40 am, Fabio Fanoni wrote:
> Dear all,
>
> I have been using the package nlme for about a year through the
> software R
>
> Recently, following an update of R (and the corresponding nlme package), in some situations the gls() function does not work.
>
>
> The following lines of code
>
> require(nlme)
> db<-read.csv2("G:\\Dati.csv",as.is=TRUE)
> f<-"DELTA_INVNORM_STD ~ 0+ ITOD + EU_CH"
> gls(as.formula(f),correlation=corARMA(p=2,q=3,fixed=FALSE),data=db,wei
> ghts=varExp(),method="ML")
>
>
> with the old version of R returns the following output:
>
> Generalized least squares fit by maximum likelihood
> Model: as.formula(f)
> Data: db
> Log-likelihood: -36.13853
>
> Coefficients:
> ITOD EU_CH
> -0.3138869 -0.5010393
>
> Correlation Structure: ARMA(2,3)
> Formula: ~1
> Parameter estimate(s):
> Phi1 Phi2 Theta1 Theta2 Theta3
> 0.50054107 -0.07357577 0.91847373 0.66706344 0.51689285 Variance
> function:
> Structure: Power of variance covariate
> Formula: ~fitted(.)
> Parameter estimates:
> power
> -0.01893321
> Degrees of freedom: 71 total; 69 residual Residual standard error:
> 0.4077908
>
>
> while with the new one version of R ends with the following error
> message
>
> Error in `coef<-.corARMA`(`*tmp*`, value = value[parMap[, i]]) :
> NA/NaN/Inf in foreign function call (arg 1)
>
>
>
> here are the parameters of the old version of R
>
>> sessionInfo()
> R version 3.3.2 (2016-10-31)
> Platform: i386-w64-mingw32/i386 (32-bit) Running under: Windows >= 8
> x64 (build 9200)
>
> locale:
> [1] LC_COLLATE=Italian_Italy.1252 LC_CTYPE=Italian_Italy.1252 LC_MONETARY=Italian_Italy.1252
> [4] LC_NUMERIC=C LC_TIME=Italian_Italy.1252
>
> attached base packages:
> [1] stats graphics grDevices utils datasets methods base
>
> other attached packages:
> [1] nlme_3.1-128
>
> loaded via a namespace (and not attached):
> [1] tools_3.3.2 grid_3.3.2 lattice_0.20-34
>
>
>
> and the correspondents of the new one
>
>> sessionInfo()
> R version 3.5.2 (2018-12-20)
> Platform: i386-w64-mingw32/i386 (32-bit) Running under: Windows >= 8
> x64 (build 9200)
>
> Matrix products: default
>
> locale:
> [1] LC_COLLATE=Italian_Italy.1252 LC_CTYPE=Italian_Italy.1252 LC_MONETARY=Italian_Italy.1252
> [4] LC_NUMERIC=C LC_TIME=Italian_Italy.1252
>
> attached base packages:
> [1] stats graphics grDevices utils datasets methods base
>
> other attached packages:
> [1] nlme_3.1-137
>
> loaded via a namespace (and not attached):
> [1] compiler_3.5.2 tools_3.5.2 grid_3.5.2 lattice_0.20-38
>
> The data used are shown below
>
>
> I wonder if someone could help me to solve this problem.
>
> Best regards,
>
> Fabio Fanoni
>
>
> DELTA_INVNORM_STD;ITOD;EU_CH
> -1,01888891391635;1,11744160507933;0,164921569515933
> -1,7287582158078;1,33122211515022;0,192399322297369
> -1,92084919508607;1,42620153798496;0,119394703266418
> -1,07481132504896;1,40851069525448;-0,21451386962765
> 0,368325144516397;1,143582080184;-0,541418306765893
> 1,60232300735139;0,877753890833926;-0,540071359447086
> 1,79762928248747;0,585114281768911;-0,457099318942592
> 0,91995670533225;0,300270733467356;-0,292232806294851
> -0,0262660321428139;0,20146037523289;-0,236469135573377
> -1,02121152912805;0,0419782544708825;-0,345437279939175
> -1,10672650470506;0,0574913198102401;-0,366584376685452
> -1,39178681241528;0,33582796272111;-0,222730255141816
> -1,1454072922613;0,119188584353956;-0,00950828000562807
> -0,958672816825354;-0,0667970836192611;0,4570747351185
> -1,32272038017045;-0,307712992787705;0,958678420940093
> -0,907400017348963;-0,781894397724971;1,3426934842003
> -1,24178782808971;-0,502123817789113;1,78543551198139
> -0,727279530248652;-0,198729005124588;1,65424271463061
> -0,663683090224516;-0,00292614483254617;1,29016249027665
> -0,870662613154294;0,284152373447782;0,852269477692287
> -0,740956260890321;0,212558271927232;0,359286261984589
> -0,875175106507846;0,16921613723138;0,301636857743261
> -0,159691021207123;0,344902273564796;0,406160071512065
> 0,485359221230746;0,405193753056144;0,545299871378597
> 0,91806657022351;0,51772409209882;0,664639525858513
> 0,94182403298868;0,624398008842597;0,721750147939642
> 0,772810225693767;0,669380547864261;0,746938090683181
> 0,454079892235428;0,829860577818214;0,875841077996076
> 0,216198540864624;0,85936757871922;1,06778126286636
> -0,390013295840405;0,820301653758161;1,32356681853436
> -1,08957286663887;0,735286971796754;1,51483352772482
> -1,7181964072478;0,54188741408352;1,59807495122772
> -2,14142427321141;0,3080114833751;1,30188093962788
> -1,73631132303729;0,242276386254216;0,821154955431617
> -1,14832298161027;-0,168559611137128;0,390400772122712
> -0,199657255063557;-0,673990227176314;-0,425580724204736
> 0,637711021315926;-1,26311924357155;-0,777807797606142
> 1,13372564859946;-2,22697608948676;-1,02793616079627
> 1,3387228312938;-2,67326030450369;-1,25476231880355
> 1,13410628583832;-2,41425486942835;-0,769187327492251
> 1,20371911407773;-1,73317141026889;-0,4868668898436
> 1,04245681382429;-0,627677467262121;-0,517038541303494
> 1,19122635858486;0,318264079861633;-0,902669938921763
> 1,10644115835792;0,53399823108225;-1,58826681113873
> 0,657027862693417;0,566924775110004;-2,16826290930735
> 0,391546504792817;0,382793958142103;-2,37380727704873
> -0,121513593301095;0,113508212335312;-2,28814134594747
> 0,090587410027589;-0,10456301293743;-1,92150191643467
> 0,293363258062962;-0,599038773090656;-1,5279235122598
> 0,490646403474033;-1,16804784867814;-1,10646327070376
> 0,663013157660536;-1,68022387383074;-0,281457211581005
> 0,48006697458688;-2,17535440458421;0,0140633243390067
> 0,33992207153128;-2,15751594621565;0,415319331867849
> 0,485131796838891;-1,91164287702336;0,74289724468591
> 0,645057199360022;-1,64072137764755;0,715150100824384
> 0,830719890823037;-1,20839230550334;0,886616664628225
> 1,00060688160202;-0,799350150825283;0,78775063121476
> 0,799516770753564;-0,474799224784852;0,620190215847712
> 0,884527141039385;-0,111321336688718;0,400772282236831
> 0,77592825475446;0,41873781137028;0,214623979323192
> 0,897761905934407;0,618216183184323;-0,371702774880583
> 1,23087946317063;0,86282014652723;-1,04275259746654
> 1,1730433788867;1,03592979384644;-1,50933562067236
> 1,18413315011977;0,843466359597336;-1,89254251877396
> 0,522306442129412;0,786432900675309;-1,199941514842
> -0,423472231576842;0,534354713733984;-0,258289703958632
> -1,02160314495135;0,445296924001273;0,367637345059225
> -1,2194743130469;0,791437804698057;0,831122380946011
> -0,682787491324478;0,735393577499657;0,636488297397258
> -0,277058822726022;0,988210808618591;0,362382895620209
> -0,0283252883031908;1,18581655608866;0,466771415869385
>
>
>
>
> Fabio Fanoni
> SVILUPPO MODELLI DI CREDITO
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> fabio.fanoni using popso.it<mailto:fabio.fanoni using popso.it>
>
>
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