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Re: Problem with the Hannan Rissanen procedure

  • To: mathgroup at
  • Subject: [mg65601] Re: Problem with the Hannan Rissanen procedure
  • From: dh <dh at>
  • Date: Tue, 11 Apr 2006 04:04:07 -0400 (EDT)
  • References: <e15en0$2ru$>
  • Sender: owner-wri-mathgroup at

Hello John,

I do not know what you are doing, but I suppose, your procedure does 

involve some sort of fit. What the message tells you is, that the 

numerical procedure could deliver inaccurate answers due to numerical 

instabilities. Therefore, you better check  if the fit is feasible. 

Usually this can easily be done. Your solution may still be o.k., but it 

also happens that you get grossly misleading results.

E.g. if we look for x in A.x ==b and you got a solution: x0, you would 

look at the norm of:

A.x0 -b


john.hawkin at wrote:

> 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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