fGarch: possible bugs
Yohan Chalabi
chalabi at phys.ethz.ch
Tue Feb 12 15:40:02 CET 2008
>>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>>>> on Mon, 11 Feb 2008 11:03:56 -0800 (PST)
MM> 4. There seems to be a problem in the computation of the
MM> hessian. The default hessian="fda" used with algorithm="nlminb"
MM> produced a covariance matrix with negative numbers on the
MM> diagonal. First, I thought this inaccuracy is the price to pay
MM> for faster computation. The setting hessian="cda" produced a
MM> covariance matrix with only positive numbers on the diagonal
MM> but it took longer to calculate the hessian. However, when
MM> I used algorithm="sqp" both hessian="fda" and hessian="cda"
MM> produced covariance matrices with negative numbers on the
MM> diagonal. Therefore, I would like to ask if such a result
MM> is OK or if there is a bug in the fortran implementation of
MM> hessian computation.
and to respond to your question...
No, it is not OK to have negative numbers on the diagonal! And I think
it should work now with hessian="cda".
One possible problem could be a miss specified model. What time
series / data are you trying to model? I would be curious to see it and
check if the problem comes from "cda".
regards,
Yohan
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