gls() funcion after R upgrade

sessionInfo()

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,weights=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
Piazza Garibaldi 16
23100 Sondrio (SO)
Banca Popolare di Sondrio
Tel. +390342528920
fabio.fanoni at popso.it<mailto:fabio.fanoni at popso.it>


AVVERTENZE LEGALI - I contenuti di questo messaggio, proveniente da un indirizzo di posta elettronica aziendale della Banca Popolare di Sondrio, e gli eventuali allegati possono essere letti e utilizzati, per esigenze lavorative, da chi opera alle dipendenze o per conto della stessa, o ? comunque cointeressato nell'inerente relazione d'affari. Le dichiarazioni, ivi contenute, non impegnano contrattualmente la Banca Popolare di Sondrio se non nei limiti di quanto eventualmente previsto in accordi opportunamente formalizzati. Se il messaggio ? stato ricevuto per errore ce ne scusiamo, pregando di segnalare ci? al mittente e poi di distruggerlo senza farne alcun uso poich? l'utilizzo senza averne diritto ? vietato dalla legge e potrebbe costituire reato.

DATI SOCIETARI - BANCA POPOLARE DI SONDRIO - Societ? cooperativa per azioni - Fondata nel 1871
Sede sociale e direzione generale: I - 23100 SONDRIO SO - piazza Garibaldi, 16
Indirizzo Internet: http:[doppiabarra]www[punto]popso[punto]it - E-mail: info[chiocciola]popso[punto]it
Iscritta al Registro delle Imprese di Sondrio al n. 00053810149, all'Albo delle Banche al n. 842, all'Albo delle Societ? Cooperative al n. A160536 Capogruppo del Gruppo bancario Banca Popolare di Sondrio, iscritto all'Albo dei Gruppi bancari al n. 5696.0 Aderente al Fondo Interbancario di Tutela dei Depositi e al Fondo Nazionale di Garanzia - Codice fiscale e partita IVA: 00053810149
Capitale sociale: EUR 1.360.157.331 - Riserve: EUR 947.325.264 (Dati approvati dall'Assemblea dei soci del 29 aprile 2017).

N.B. I "filtri antivirus" e "antispam" in uso su molti sistemi di posta elettronica possono talvolta ritardare o impedire, in tutto o in parte, il recapito dei messaggi. In tali casi, salvo verifica di avvenuta ricezione, pu? essere necessario modificare i contenuti o le modalit? d'invio.


	[[alternative HTML version deleted]]

gls(as.formula(f),correlation=corARMA(p=2,q=3,fixed=FALSE),data=db,weights=varExp(),method="ML")

sessionInfo()

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
Piazza Garibaldi 16
23100 Sondrio (SO)
Banca Popolare di Sondrio
Tel. +390342528920
fabio.fanoni at popso.it<mailto:fabio.fanoni at popso.it>


AVVERTENZE LEGALI - I contenuti di questo messaggio, proveniente da un indirizzo di posta elettronica aziendale della Banca Popolare di Sondrio, e gli eventuali allegati possono essere letti e utilizzati, per esigenze lavorative, da chi opera alle dipendenze o per conto della stessa, o ? comunque cointeressato nell'inerente relazione d'affari. Le dichiarazioni, ivi contenute, non impegnano contrattualmente la Banca Popolare di Sondrio se non nei limiti di quanto eventualmente previsto in accordi opportunamente formalizzati. Se il messaggio ? stato ricevuto per errore ce ne scusiamo, pregando di segnalare ci? al mittente e poi di distruggerlo senza farne alcun uso poich? l'utilizzo senza averne diritto ? vietato dalla legge e potrebbe costituire reato.

DATI SOCIETARI - BANCA POPOLARE DI SONDRIO - Societ? cooperativa per 
azioni - Fondata nel 1871 Sede sociale e direzione generale: I - 23100 
SONDRIO SO - piazza Garibaldi, 16 Indirizzo Internet: 
http:[doppiabarra]www[punto]popso[punto]it - E-mail: 
info[chiocciola]popso[punto]it Iscritta al Registro delle Imprese di Sondrio al n. 00053810149, all'Albo delle Banche al n. 842, all'Albo delle Societ? Cooperative al n. A160536 Capogruppo del Gruppo bancario Banca Popolare di Sondrio, iscritto all'Albo dei Gruppi bancari al n. 5696.0 Aderente al Fondo Interbancario di Tutela dei Depositi e al Fondo Nazionale di Garanzia - Codice fiscale e partita IVA: 00053810149 Capitale sociale: EUR 1.360.157.331 - Riserve: EUR 947.325.264 (Dati approvati dall'Assemblea dei soci del 29 aprile 2017).

N.B. I "filtri antivirus" e "antispam" in uso su molti sistemi di posta elettronica possono talvolta ritardare o impedire, in tutto o in parte, il recapito dei messaggi. In tali casi, salvo verifica di avvenuta ricezione, pu? essere necessario modificare i contenuti o le modalit? d'invio.


	[[alternative HTML version deleted]]

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 at mpi.nl> 
Inviato: marted? 19 febbraio 2019 00:44
A: Fabio Fanoni <fabio.fanoni at popso.it>; r-sig-mixed-models at 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
Piazza Garibaldi 16
23100 Sondrio (SO)
Banca Popolare di Sondrio
Tel. +390342528920
fabio.fanoni at popso.it<mailto:fabio.fanoni at popso.it>


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	[[alternative HTML version deleted]]

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,we
ights=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 at mpi.nl>
Inviato: marted? 19 febbraio 2019 00:44
A: Fabio Fanoni <fabio.fanoni at popso.it>; 
r-sig-mixed-models at 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,wei
ghts=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,we
i
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
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Fabio Fanoni
SVILUPPO MODELLI DI CREDITO
Piazza Garibaldi 16
23100 Sondrio (SO)
Banca Popolare di Sondrio
Tel. +390342528920
fabio.fanoni at popso.it<mailto:fabio.fanoni at popso.it>


AVVERTENZE LEGALI - I contenuti di questo messaggio, proveniente da un indirizzo di posta elettronica aziendale della Banca Popolare di Sondrio, e gli eventuali allegati possono essere letti e utilizzati, per esigenze lavorative, da chi opera alle dipendenze o per conto della stessa, o ? comunque cointeressato nell'inerente relazione d'affari. Le dichiarazioni, ivi contenute, non impegnano contrattualmente la Banca Popolare di Sondrio se non nei limiti di quanto eventualmente previsto in accordi opportunamente formalizzati. Se il messaggio ? stato ricevuto per errore ce ne scusiamo, pregando di segnalare ci? al mittente e poi di distruggerlo senza farne alcun uso poich? l'utilizzo senza averne diritto ? vietato dalla legge e potrebbe costituire reato.

DATI SOCIETARI - BANCA POPOLARE DI SONDRIO - Societ? cooperativa per 
azioni - Fondata nel 1871 Sede sociale e direzione generale: I - 
23100 SONDRIO SO - piazza Garibaldi, 16 Indirizzo Internet:
http:[doppiabarra]www[punto]popso[punto]it - E-mail: 
info[chiocciola]popso[punto]it Iscritta al Registro delle Imprese di Sondrio al n. 00053810149, all'Albo delle Banche al n. 842, all'Albo delle Societ? Cooperative al n. A160536 Capogruppo del Gruppo bancario Banca Popolare di Sondrio, iscritto all'Albo dei Gruppi bancari al n. 5696.0 Aderente al Fondo Interbancario di Tutela dei Depositi e al Fondo Nazionale di Garanzia - Codice fiscale e partita IVA: 00053810149 Capitale sociale: EUR 1.360.157.331 - Riserve: EUR 947.325.264 (Dati approvati dall'Assemblea dei soci del 29 aprile 2017).

N.B. I "filtri antivirus" e "antispam" in uso su molti sistemi di posta elettronica possono talvolta ritardare o impedire, in tutto o in parte, il recapito dei messaggi. In tali casi, salvo verifica di avvenuta ricezione, pu? essere necessario modificare i contenuti o le modalit? d'invio.


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