0 and -inf in the residuals inferred from a ARIMA model

Question

Taylor Xie 2014-7-3

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/140101-0-and-inf-in-the-residuals-inferred-from-a-arima-model

评论： Taylor Xie 2014-7-4

采纳的回答： Roger Wohlwend

Rtn.mat

在 MATLAB Online 中打开

Hello, everyone.

when I was inferring residuals and variance from a estimated ARIMA model, I found some -inf and 0 in the residuals and variance and I don't know what's wrong. This error doesn't happen regular and it only happened in certain dataset. For example, when I infer the data Rtn in the attachment.

My codes are

options   = optimset('fmincon');
options   = optimset(options, 'Display'  , 'off', 'Diagnostics', 'off', ...
    'Algorithm', 'sqp', 'TolCon'     , 1e-7);
model= arima('AR', NaN,'ARLags',1, 'Distribution', 't', 'Variance', egarch(1,1));
fitmodel = estimate(model, Rtn, 'print', false, 'options', options);
[residuals, variances] = infer(fitmodel, Rtn);
% Calculate the Standardized Residuals
residuals = residuals ./ sqrt(variances);

When I look at the residuals and variances vector, I find some -inf and 0. I don't know why this happened. But, when I change another data, the infer function works well. Does anyone can help me to figure out this problem.

Thanks, very much.

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Roger Wohlwend 2014-7-4

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/140101-0-and-inf-in-the-residuals-inferred-from-a-arima-model#answer_143637

For an EGARCH(1,1) model the ARCH and GARCH coefficients are expected to be positive. In your case they are not. That is why you have problems with the residuals and the variances. It seems that an EGARCH model is not appropriate for your data. I don't know the reason for that, I guess nobody can tell you. So the only way to fix this is to use a different model for the variance: GARCH(1,1) for example.