From kjetil at entelnet.bo  Sun Apr  4 03:34:25 2004
From: kjetil at entelnet.bo (kjetil@entelnet.bo)
Date: Sun Apr  4 03:34:42 2004
Subject: [Rd] Sporadic error in kalmanSmooth
Message-ID: <406F2DE1.5222.3C9F39@localhost>

Defining the following: 

 set.seed(123)

 kalmanTorture <- function(iter) {
   x <- arima.sim(model = list(ar=0.9, ma=0.5),n=150 )
   x[10:20] <- NA
   mod <- arima(x, order=c(1,0,1) )
   for (i in 1:iter) {
      smooth <- KalmanSmooth(x, mod=mod$model)$smooth
      if (any(is.na(smooth))) stop("NA on iteration ",i) }
}

and running in R1.9.0beta (equal in R1.8.1), windows XP, precompiled 
binaries:

> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 147
> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 3
> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 2
> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 3
> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 1
> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 4
> kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 1
.
.
.
Starting a new session, using the same set.seed(123)
gives another sequence of iteration numbers where failing.

Kjetil Halvorsen


[Rd] Sporadic error in kalmanSmooth
kjetil@entelnet.bo