I get the identical error even when applying the sample code from the dlm
vignette on state space models: http://www.jstatsoft.org/v41/i04/paper
The sample code is here:
tmp <- ts(read.table("http://shazam.econ.ubc.ca/intro/P.txt";, header=T),
start=c(1978,1), frequency=12) * 100
y <- tmp[,1:4] - tmp[,"RKFREE"]
colnames(y) <- colnames(tmp)[1:4]
market <- tmp[,"MARKET"] - tmp[,"RKFREE"]
rm("tmp")
m <- NCOL(y)
Zt <- sapply(seq_along(market), function(i) market[i] %x% diag(m))
dim(Zt) <- c(m, m, length(market))
Rt <- diag(nr = m)
logLik <- function(theta) {
a <- diag(exp(0.5 * theta[1:m]), nr = m)
a[upper.tri(a)] <- theta[(m + 1):k]
Ht <- crossprod(a)
a <- diag(exp(0.5 * theta[1:m + k]), nr = m)
a[upper.tri(a)] <- theta[-(1:(k + m))]
Qt <- crossprod(a)
lik <- kf(yt = t(y), Zt = Zt, Tt = diag(nr = m), Rt = Rt, Ht = Ht,
Qt = Qt, a1 = rep(0, m), P1 = matrix(0, m, m),
P1inf = diag(rep(1, m)), optcal = c(FALSE, FALSE, FALSE, FALSE))
return(-lik$lik)
}
fit <- optim(par = rep(0, 2 * k), fn = logLik, method = "BFGS", control =
list(maxit = 500))
fit$conv
The parameter K is not defined. If I select an arbitrary value of K (looks
like it is just a parameter to initialize optimization) I get a separate
error.
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