Dear Tom:
An example of dynamic factor model from Durbin & Koopman Time Series Analysis by State Space Methods, first and 2nd edition, does not converge.
Best regard
Hardmann
durkp202 does not converge
Re: durkp202 does not converge
Looks fine to me.
Code: Select all
DLM - Estimation by BFGS
Convergence in 24 Iterations. Final criterion was 0.0000016 <= 0.0000100
Monthly Data From 1972:01 To 2000:12
Usable Observations 348
Rank of Observables 5916
Log Likelihood 3180.7393
Variable Coeff Std Error T-Stat Signif
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1. A(1,1) 1.002995878 0.002027270 494.75210 0.00000000
2. A(2,1) -0.010943329 0.003630828 -3.01400 0.00257825
3. A(3,1) -0.000472552 0.006303144 -0.07497 0.94023792
4. A(1,2) 0.027339973 0.008524909 3.20707 0.00134095
5. A(2,2) 0.936916932 0.013049241 71.79858 0.00000000
6. A(3,2) 0.026354011 0.022992981 1.14618 0.25172218
7. A(1,3) -0.024279333 0.010156282 -2.39057 0.01682210
8. A(2,3) 0.034404010 0.017819743 1.93067 0.05352411
9. A(3,3) 0.848090593 0.021039374 40.30969 0.00000000
10. SW(1,1) 0.094738401 0.008055443 11.76079 0.00000000
11. SW(2,1) -0.013299288 0.010209222 -1.30267 0.19268609
12. SW(2,2) 0.384957846 0.026746417 14.39288 0.00000000
13. SW(3,1) 0.043616477 0.017484053 2.49464 0.01260838
14. SW(3,2) 0.006295018 0.023599074 0.26675 0.78966278
15. SW(3,3) 0.799401898 0.065872589 12.13558 0.00000000
16. SVDIAG(1) -2.631543656 0.099609538 -26.41859 0.00000000
17. SVDIAG(2) -5.166307183 0.195092524 -26.48132 0.00000000
18. SVDIAG(3) -4.809582237 0.078383464 -61.35965 0.00000000
19. SVDIAG(4) -4.517277230 0.072042730 -62.70275 0.00000000
20. SVDIAG(5) -4.622283644 0.081924516 -56.42125 0.00000000
21. SVDIAG(6) -4.895242000 0.090146799 -54.30300 0.00000000
22. SVDIAG(7) -5.085034340 0.093497882 -54.38663 0.00000000
23. SVDIAG(8) -5.259093929 0.088633149 -59.33552 0.00000000
24. SVDIAG(9) -5.243860972 0.082290741 -63.72358 0.00000000
25. SVDIAG(10) -5.074680866 0.079218273 -64.05947 0.00000000
26. SVDIAG(11) -4.547260791 0.068244355 -66.63204 0.00000000
27. SVDIAG(12) -4.759230915 0.073421037 -64.82108 0.00000000
28. SVDIAG(13) -4.596360904 0.068358694 -67.23886 0.00000000
29. SVDIAG(14) -4.381302526 0.072279005 -60.61653 0.00000000
30. SVDIAG(15) -4.469916891 0.076617966 -58.34032 0.00000000
31. SVDIAG(16) -3.784940810 0.067367965 -56.18310 0.00000000
32. SVDIAG(17) -3.511197899 0.063092208 -55.65185 0.00000000
33. LAM 0.077760235 0.001733168 44.86595 0.00000000