求助!用R做BEKK 一直出现H IS SINGULAR!后报错 [size=13.3333px]In BEKK(garchbekk) : negative inverted hessian matrix element。[size=13.3333px]请问这是怎么回事呢?
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[size=13.3333px] 代码如下:就是这个for循环出的问题:
[size=13.3333px]
[size=13.3333px]for (ii in 1:(nn1-1)){
[size=13.3333px] for (jj in (ii+1):nn1){
[size=13.3333px] if (exists('estimated'))
[size=13.3333px] {
[size=13.3333px] rm(estimated)
[size=13.3333px] }
[size=13.3333px] if(sum(data_3[,ii])!=0 & sum(data_3[,jj])!=0)
[size=13.3333px] {
[size=13.3333px] try({garchbekk <- cbind(data_3[,ii],data_3[,jj])
[size=13.3333px] estimated <- BEKK(garchbekk)},silent = T)
[size=13.3333px] if (exists('estimated')){
[size=13.3333px] t_a21=estimated$est.params$`2`[2,1]/estimated$asy.se.coef[[2]][2,1]
[size=13.3333px] t_a12=estimated$est.params$`2`[1,2]/estimated$asy.se.coef[[2]][1,2]
[size=13.3333px] t_b21=estimated$est.params$`3`[2,1]/estimated$asy.se.coef[[3]][2,1]
[size=13.3333px] t_b12=estimated$est.params$`3`[1,2]/estimated$asy.se.coef[[3]][1,2]
[size=13.3333px] p_a21=2*(1-pnorm(abs(t_a21)))
[size=13.3333px] p_a12=2*(1-pnorm(abs(t_a12)))
[size=13.3333px] p_b21=2*(1-pnorm(abs(t_b21)))
[size=13.3333px] p_b12=2*(1-pnorm(abs(t_b12)))
[size=13.3333px] if(p_a21<=0.05){a21=estimated$est.params$`2`[2,1]}else{a21=0}
[size=13.3333px] if(p_a12<=0.05){a12=estimated$est.params$`2`[1,2]}else{a12=0}
[size=13.3333px] if(p_b21<=0.05){b21=estimated$est.params$`3`[2,1]}else{b21=0}
[size=13.3333px] if(p_b12<=0.05){b12=estimated$est.params$`3`[1,2]}else{b12=0}
[size=13.3333px]
[size=13.3333px] data_4[ii,jj]=a21
[size=13.3333px] data_4[jj,ii]=a12
[size=13.3333px] data_5[ii,jj]=b21
[size=13.3333px] data_5[jj,ii]=b12
[size=13.3333px] }
[size=13.3333px] }
[size=13.3333px] next
[size=13.3333px] }
[size=13.3333px]}