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MathGroup Archive 2006

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Problem with the Hannan Rissanen procedure

  • To: mathgroup at smc.vnet.net
  • Subject: [mg65553] Problem with the Hannan Rissanen procedure
  • From: "john.hawkin at gmail.com" <john.hawkin at gmail.com>
  • Date: Fri, 7 Apr 2006 06:14:31 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Hello,

I am doing time series research using mathematica, and I have come
across the following problem.  When I run the command

HannanRissanenEstimate[data, kmax, pmax, qmax, numModels]

on certain sets of data, I get the error message:

"Results for (op) of badly conditioned matrix (expr) may contain
significant numerical errors"

Where in this case op is "Inverse" and expr is my data.  In the help
file it says the following about this error message:

- Generated by a failure in the algorithm that is used in computing
numerical solutions of linear systems of equations.
- If you see this message in an example where it is not expected,
please contact Technical Support.

I don't believe there's any reason why the data I'm feeding in should
be problematic.  Data that will generate this error include the
following time series:

AR models (AR(1), AR(2) and AR(3) generate it regularly, I have not
tested others)
The occasional ARMA model, very infrequently
no MA models.

All the AR models tested were stationary and all MA models were
invertible, and all ARMA models were both.

Does anyone know why this happens, if I should be concerned, and how I
can fix it?

Thanks,

-John Hawkin


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