From liang@stat.berkeley.edu  Mon Apr 29 20:06:42 2002
From: liang@stat.berkeley.edu (liang@stat.berkeley.edu)
Date: Mon, 29 Apr 2002 21:06:42 +0200 (MET DST)
Subject: [Rd] tseries package segmentation fault (PR#1497)
Message-ID: <200204291906.VAA14141@pubhealth.ku.dk>

Full_Name: Gang Liang
Version: 1.4.1
OS: mandrake-8.2
Submission from: (NULL) (128.32.81.135)


tseries version: 0.9-1
quadprog version: 1.4-4
mva version: 1.4.1

version:
platform i686-pc-linux-gnu
arch     i686             
os       linux-gnu        
system   i686, linux-gnu  
status                    
major    1                
minor    4.1              
year     2002             
month    01               
day      30               
language R                

The tseries package can be loaded successfully and most functions are running
fine, but garch will cause a segmentation fault. I did a very simple debug, and
found the problem lied in function call: .C( "pred_garch", ... ). BTW, my gcc
version is 2.96. If I compile the R and all packages by using gcc 3.0.4, the
problem persists.

The following are the output when I am trying to run the example in garch help:
> n <- 1100
> a <- c(0.1, 0.5, 0.2)  # ARCH(2) coefficients
> e <- rnorm(n)  
> x <- double(n)
> x[1:2] <- rnorm(2, sd = a[1]/(1.0-a[2]-a[3])) 
> for(i in 3:n)  # Generate ARCH(2) process
+ {
+   x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
+ }
> x <- ts(x[101:1100])
> x.arch <- garch(x, order = c(0,2))

 ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** 


     I     INITIAL X(I)        D(I)

     1     0.332467E+00     0.100E+01
     2     0.500000E-01     0.100E+01
     3     0.500000E-01     0.100E+01

    IT   NF       F        RELDF    PRELDF    RELDX   STPPAR   D*STEP   NPRELDF

     0    1 -0.993E+02
     1    3 -0.148E+03  0.33E+00  0.40E+00  0.1E+00  0.6E+04  0.1E+00  0.12E+04
     2    5 -0.186E+03  0.21E+00  0.24E+00  0.2E+00  0.8E+01  0.1E+00  0.13E+04
     3    6 -0.208E+03  0.10E+00  0.14E+00  0.2E+00  0.1E+02  0.1E+00  0.50E+02
     4    8 -0.211E+03  0.17E-01  0.44E-01  0.6E-01  0.1E+02  0.4E-01  0.61E+01
     5    9 -0.215E+03  0.17E-01  0.21E-01  0.6E-01  0.2E+01  0.4E-01  0.20E+01
     6   10 -0.216E+03  0.51E-02  0.20E-01  0.9E-01  0.2E+01  0.8E-01  0.78E+00
     7   11 -0.219E+03  0.11E-01  0.44E-01  0.2E+00  0.2E+01  0.2E+00  0.12E+01
     8   13 -0.220E+03  0.57E-02  0.12E-01  0.2E-01  0.6E+02  0.2E-01  0.10E+01
     9   14 -0.221E+03  0.31E-02  0.36E-02  0.2E-01  0.2E+01  0.2E-01  0.88E-01
    10   15 -0.223E+03  0.92E-02  0.11E-01  0.4E-01  0.2E+01  0.3E-01  0.71E-01
    11   16 -0.225E+03  0.11E-01  0.13E-01  0.8E-01  0.9E+00  0.7E-01  0.21E-01
    12   17 -0.227E+03  0.60E-02  0.60E-02  0.6E-01  0.6E+00  0.7E-01  0.69E-02
    13   18 -0.227E+03  0.12E-02  0.11E-02  0.4E-01  0.0E+00  0.4E-01  0.11E-02
    14   19 -0.227E+03  0.53E-04  0.51E-04  0.6E-02  0.0E+00  0.7E-02  0.51E-04
    15   20 -0.227E+03  0.50E-06  0.57E-06  0.9E-03  0.0E+00  0.9E-03  0.57E-06
    16   21 -0.227E+03  0.13E-07  0.13E-07  0.3E-04  0.0E+00  0.4E-04  0.13E-07
    17   22 -0.227E+03  0.12E-10  0.12E-10  0.2E-05  0.0E+00  0.3E-05  0.12E-10

 ***** RELATIVE FUNCTION CONVERGENCE *****

 FUNCTION    -0.226852E+03   RELDX        0.238E-05
 FUNC. EVALS      22         GRAD. EVALS      18
 PRELDF       0.117E-10      NPRELDF      0.117E-10

     I      FINAL X(I)        D(I)          G(I)

     1    0.102547E+00     0.100E+01    -0.340E-04
     2    0.517733E+00     0.100E+01    -0.185E-04
     3    0.187292E+00     0.100E+01     0.353E-05


Process R segmentation fault at Mon Apr 29 12:03:14 2002


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[Rd] tseries package segmentation fault (PR#1497)
liang@stat.berkeley.edu