Multivariate forecast

[gururajab]

Not able to do multivariate time series forecasting.

[kaushikrch]

Please refer to issue #2 on performing multivariate time series forecasting

[gururajab]

Thank you for the quick reply. I tried running the code and i am getting this error. I saw the issue log about this but not able to debug.

[kaushikrch]

Can you please paste the error or prepare a reproducible example.

[gururajab]

Error:
Error in is.SSModel(do.call(updatefn, args = c(list(inits, model), update_args)), :
System matrices (excluding Z) contain NA or infinite values, covariance matrices contain values larger than 1e+07

[kaushikrch]

This seems like an error while building the UCM model. This generally happens when you have very large values. You may use log values while building the model.

…

On Fri, Mar 3, 2017 at 5:03 PM, gururajab ***@***.***> wrote: Error: Error in is.SSModel(do.call(updatefn, args = c(list(inits, model), update_args)), : System matrices (excluding Z) contain NA or infinite values, covariance matrices contain values larger than 1e+07 — You are receiving this because you commented. Reply to this email directly, view it on GitHub <#8 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AHNwBA5q9C5j-r27DcJDabfYAZ70I97uks5rh_p9gaJpZM4MQ14D> .

[MONALISAXCEEDANCE]

Hi, my code is below. All other packages are giving answer except UCM. library(rucm)
set.seed(123)
f.mymod <- ucm(formula = y~0, data = y, level = TRUE, slope = TRUE,
irregular = TRUE, season = TRUE, season.length = 12, cycle = TRUE, cycle.period = h)

The error is Error in is.SSModel(do.call(updatefn, args = c(list(inits, model), update_args)), :
System matrices (excluding Z) contain NA or infinite values, covariance matrices contain values larger than 1e+0'
Kindly help!

[gururajab]

Try taking the log of your y in the model.