ARIMA模型不能工作:中的错误

Question

希望有人能帮我。

我想做一个自回归回归的一些月日志回报(60个观察)。我发现只有滞后1,3,11,18是显著的，所以我只想包括那些回归(参见对象model)。

我不断地得到non-finite finite-difference value的错误，这是我无法绕过的。我在网上发现了两件事：

1. 我试着设置optim.method = "Nelder-Mead"，它提供了下面的输出.

1. I尝试设置optim.method = "Nelder-Mead"和hessian = FALSE，但是它给出了一个错误，即hessian不是有效的参数。

> model
 [1] NA  0 NA  0  0  0  0  0  0  0 NA  0  0  0  0  0  0 NA NA
> arima(log_returns, order = c(18,0,0), fixed = model, include.mean = TRUE)
Error in optim(init[mask], armafn, method = optim.method, hessian = TRUE,  : 
  non-finite finite-difference value [3]
In addition: Warning message:
In arima(log_returns, order = c(18, 0, 0), fixed = model, include.mean = TRUE) :
  some AR parameters were fixed: setting transform.pars = FALSE

> arima(log_returns, order = c(18,0,0), fixed = model, include.mean = TRUE, optim.method = "Nelder-Mead")
Error in optim(init[mask], armafn, method = optim.method, hessian = TRUE,  : 
  non-finite finite-difference value [2]
In addition: Warning messages:
1: In arima(log_returns, order = c(18, 0, 0), fixed = model, include.mean = TRUE,  :
  some AR parameters were fixed: setting transform.pars = FALSE
2: In log(s2) : NaNs produced
3: In log(s2) : NaNs produced
4: In log(s2) : NaNs produced
5: In log(s2) : NaNs produced
6: In log(s2) : NaNs produced
7: In log(s2) : NaNs produced
8: In log(s2) : NaNs produced
9: In log(s2) : NaNs produced

Answer 1

我也遇到了同样的问题，设置xreg值1:length(data)对我来说是有效的。

arima(data, order=c(p, d, q), xreg=1:length(data), method="ML")