On Sat, 03 Apr 2004 21:34:25 -0400, you wrote:
Defining the following:
set.seed(123)
kalmanTorture <- function(iter) {
x <- arima.sim(model = list(ar=0.9, ma=0.5),n=150 )
x[10:20] <- NA
mod <- arima(x, order=c(1,0,1) )
for (i in 1:iter) {
smooth <- KalmanSmooth(x, mod=mod$model)$smooth
if (any(is.na(smooth))) stop("NA on iteration ",i) }
}
and running in R1.9.0beta (equal in R1.8.1), windows XP, precompiled
binaries:
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 147
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 3
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 2
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 3
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 1
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 4
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 1 . . . Starting a new session, using the same set.seed(123) gives another sequence of iteration numbers where failing.
I can reproduce this. The problem happens in arima.c where the KalmanSmooth function is, but I can't see why yet. Duncan Murdoch