A model selected by ARIMA() from a pool of models cannot be fitted individually
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Description
Hello:
I would like to report an issue with ARIMA().
Please unzip the attached data first.
library(fable)
load("train_data.Rdata")
# There are only two models in the pool, with and w/o the intercept.
# ARIMA selects the one w/o the intercept.
train_data |>
model(ARIMA(MW_Hourly ~ pdq(p = 1, d = 0, q = 2) + PDQ(P = 4, D = 1, Q = 1) + lag(HumidityLow, 24) + IsWeekend,
order_constraint = TRUE, stepwise = FALSE, greedy = FALSE, approximation = FALSE)) |>
report()
# Series: MW_Hourly
# Model: LM w/ ARIMA(1,0,2)(4,1,1)[24] errors
#
# Coefficients:
# ar1 ma1 ma2 sar1 sar2 sar3 sar4 sma1 lag(HumidityLow, 24) IsWeekendTRUE
# 0.9638 0.2247 -0.1032 -0.2097 -0.2230 -0.1849 -0.1512 -0.5088 -1.5179 -97.3029
# s.e. 0.0087 0.0320 0.0318 0.1012 0.0714 0.0571 0.0471 0.1030 1.6111 42.0355
#
# sigma^2 estimated as 32392: log likelihood=-7477.02
# AIC=14976.04 AICc=14976.27 BIC=15031.58
# Since the intercept was excluded, we try to specify that explicitly, to have only one model in the pool.
# However, it fails:
train_data |>
model(ARIMA(MW_Hourly ~ 0 + pdq(p = 1, d = 0, q = 2) + PDQ(P = 4, D = 1, Q = 1) + lag(HumidityLow, 24) + IsWeekend,
order_constraint = TRUE, stepwise = FALSE, greedy = FALSE, approximation = FALSE)) |>
report()
# Series: MW_Hourly
# Model: NULL model
# NULL modelWarning message:
# 1 error encountered for ARIMA(MW_Hourly ~ 0 + pdq(p = 1, d = 0, q = 2) + PDQ(P = 4, D = 1,
# Q = 1) + lag(HumidityLow, 24) + IsWeekend, order_constraint = TRUE,
# stepwise = FALSE, greedy = FALSE, approximation = FALSE)
# [1] non-finite value supplied by optim
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First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Unzip train_data.zip and run the two ARIMA() reproductions in R, comparing the automatically selected model with the explicit no-intercept specification. Trace why the explicit model produces a NULL model and “non-finite value supplied by optim”; done means the no-intercept model fits individually instead of failing.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- r
- Domain
- data
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100