Error: Index in position 1 is invalid. Array indices must be positive integers or logical values?

Question

Ameer Fahmi 2019-7-18

1
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/472343-error-index-in-position-1-is-invalid-array-indices-must-be-positive-integers-or-logical-values

评论： Walter Roberson 2019-7-19

I'm trying to use the below described code of bayesian time-varying VAR. The complete package of the code can be found here.

I have issues in estimating the TVP-VAR model with more than one lag, my data has two variables with 268 observations and the optima lag is set at 6 as indicated by information criteria.

clear; clc;
load USdata1.csv;
Y0 = USdata1(1:3,:);
shortY = USdata1(4:end,:);
[T n] = size(shortY);
Y = reshape(shortY',T*n,1);
p = 6;        % no. of lags
q = n^2*p+n;  % dim of states
Tq = T*q; Tn = T*n; q2 = q^2; nnp1 = n*(n+1);
nloop = 11000; burnin = 1000;
    %% initialize for storage
store_Omega11 = zeros(nloop-burnin,n,n);
store_Omega22 = zeros(nloop-burnin,q);
store_beta = zeros(nloop-burnin,Tq);
    %% initialize the Markov chain
Omega11 = cov(USdata1);
Omega22 = .01*ones(q,1); % store only the diag elements
invOmega11 = Omega11\speye(n);
invOmega22 = 1./Omega22;
beta = zeros(Tq,1);
    %% prior
nu01 = n+3; S01 = eye(n);
nu02 = 3;  S02 = .005*ones(q,1);
Vbeta = 5*ones(q,1);
    %% construct and compute a few thigns
X = zeros(T,n*p);
for i=1:p
    X(:,(i-1)*n+1:i*n) = [Y0(3-i+1:end,:); shortY(1:T-i,:)];
end
bigG = SURform([ones(n*T,1) kron(X,ones(n,1))]);
H = speye(Tq,Tq) - sparse(q+1:Tq,1:(T-1)*q,ones(1,(T-1)*q),Tq,Tq);
newnu1 = nu01 + T;
newnu2 = nu02 + (T-1)/2;
disp('Starting MCMC.... ');
disp(' ' );
start_time = clock;
for loop = 1:nloop    
        %% sample beta
    invS = sparse(1:Tq,1:Tq,[1./Vbeta; repmat(invOmega22,T-1,1)]'); 
    K = H'*invS*H;   
    GinvOmega11 = bigG'*kron(speye(T),invOmega11);
    GinvOmega11G = GinvOmega11*bigG;
    invP = K + GinvOmega11G;
    C = chol(invP);                         % so that C'*C = invP
    betahat = C\(C'\(GinvOmega11*Y));
    beta = betahat + C\randn(Tq,1);         % C is upper triangular
        %% sample Omega11
    e1 = reshape(Y-bigG*beta,n,T);
    newS1 = S01 + e1*e1';
    invOmega11 = wishrnd(newS1\speye(n),newnu1);
    Omega11 = invOmega11\speye(n);
        %% sample Omega22
    e2 = reshape(H*beta,q,T);
    newS2 = S02 + sum(e2(:,2:end).^2,2)/2;
    invOmega22 = gamrnd(newnu2,1./newS2);
    Omega22 = 1./invOmega22;  
    if loop>burnin
        i=loop-burnin;
        store_beta(i,:) = beta';
        store_Omega11(i,:,:) = Omega11;
        store_Omega22(i,:) = Omega22';
    end    
    if ( mod( loop, 2000 ) ==0 )
        disp(  [ num2str( loop ) ' loops... ' ] )
    end    
end
disp( ['MCMC takes '  num2str( etime( clock, start_time) ) ' seconds' ] );
disp(' ' );
    %% compute posterior means
betahat = mean(store_beta)';
Omega11hat = squeeze(mean(store_Omega11)); 
Omega22hat = mean(store_Omega22); 
tempbetahat = reshape(betahat,nnp1,T)';
gamhat1 = tempbetahat(:,1:n+1);
gamhat2 = tempbetahat(:,(n+1)+1:2*(n+1));

The code gives no error when one lag is used, but when more than 1 lag is used, an error occurs reffering to the matrix "X" in line 28. The matrix X is basically constructed to include all the lags, in case of 6 lags the X matrix should have 12 columns with non-zero values, but when I use 6 lags, the Matrix "X" is having columns with zero values which generates the following error

Index in position 1 is invalid. Array indices must be positive integers or logical values.

The extended X matrix is genertated with the lines below, thus something has to be done here to avoid the error

for i=1:p
    X(:,(i-1)*n+1:i*n) = [Y0(3-i+1:end,:); shortY(1:T-i,:)];
end

But I don't know what should be done here, could anyone please help me with this issue?

5 个评论
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Ameer Fahmi 2019-7-19

Is number of rows in Y0 is arbitrarily chosen? it can be any number porvided that the outcome of X matrix will not be zero, the authors in their original paper didn't collaborate on this point.

Walter Roberson 2019-7-19

I do not know anything about the model.

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Answer 1

Geoff Hayes 2019-7-18

0
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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/472343-error-index-in-position-1-is-invalid-array-indices-must-be-positive-integers-or-logical-values#answer_383783

Ameer - if the lag p is 6, then in this code

for i=1:p
    X(:,(i-1)*n+1:i*n) = [Y0(3-i+1:end,:); shortY(1:T-i,:)];
end

when i is 4 (since iterating from 1 to 6), then

3 - i + 1 = 3 - 4 + 1 = 0

and so you are using an invalid index into Y0 and the error message makes sense. You need to adjust your code to handle this situation. Does Y0 need to be defined differently?

Y0 = USdata1(1:6,:);

And then adjust the 3 at

[Y0(3-i+1:end,:); shortY(1:T-i,:)];

?