topic Re: Error with AR model: Cannot Decrease Objective Function Hessian is not positive definite in Discussions
https://community.jmp.com/t5/Discussions/Error-with-AR-model-Cannot-Decrease-Objective-Function-Hessian/m-p/311247#M56442
<P>Is it possible that the data cannot be reliably modeled using a time series? One way to check this is to use a validation set, for example exclude all of the values after 2016, build a model, and try to predict 2017.</P><P> </P><P>A web search for 'positive hessian Matrix' will yield some very technical and in-the-weeds articles, but this example might help. Basically, it means the model isn't able to build a model that it think you should trust.</P><P> </P><P><A href="https://www.theanalysisfactor.com/wacky-hessian-matrix/" target="_blank">https://www.theanalysisfactor.com/wacky-hessian-matrix/</A></P>Tue, 22 Sep 2020 21:18:43 GMTih2020-09-22T21:18:43ZError with AR model: Cannot Decrease Objective Function Hessian is not positive definite
https://community.jmp.com/t5/Discussions/Error-with-AR-model-Cannot-Decrease-Objective-Function-Hessian/m-p/309822#M56349
<P>I am getting the following error while producing a ARI(1,1) model. The steps I have followoed to produce the model below are: </P><P>1. Analyze > Specialized Modeling > Time Series<BR />2. Select appropriate x and y.<BR />3. Change Autocorrelation Lags to 55<BR />4. Once plotted, click red down arrow near the title and select "Difference". Set Nonseasonal Plot to 1.<BR />5. Once plotted, click red down arrow near the title and select "ARIMA". Change p.Autoregressive Order to 1 and Differencing Order to 1. Click Estimate.</P><P> </P><P>I am sure I am following the correct steps. Can anyone help me resolve this issue? </P><P><span class="lia-inline-image-display-wrapper lia-image-align-inline" image-alt="jmp.png" style="width: 999px;"><img src="https://community.jmp.com/t5/image/serverpage/image-id/26869i179495760D04A040/image-size/large?v=1.0&px=999" role="button" title="jmp.png" alt="jmp.png" /></span></P>Mon, 21 Sep 2020 00:21:35 GMThttps://community.jmp.com/t5/Discussions/Error-with-AR-model-Cannot-Decrease-Objective-Function-Hessian/m-p/309822#M56349vmaynard102020-09-21T00:21:35ZRe: Error with AR model: Cannot Decrease Objective Function Hessian is not positive definite
https://community.jmp.com/t5/Discussions/Error-with-AR-model-Cannot-Decrease-Objective-Function-Hessian/m-p/311247#M56442
<P>Is it possible that the data cannot be reliably modeled using a time series? One way to check this is to use a validation set, for example exclude all of the values after 2016, build a model, and try to predict 2017.</P><P> </P><P>A web search for 'positive hessian Matrix' will yield some very technical and in-the-weeds articles, but this example might help. Basically, it means the model isn't able to build a model that it think you should trust.</P><P> </P><P><A href="https://www.theanalysisfactor.com/wacky-hessian-matrix/" target="_blank">https://www.theanalysisfactor.com/wacky-hessian-matrix/</A></P>Tue, 22 Sep 2020 21:18:43 GMThttps://community.jmp.com/t5/Discussions/Error-with-AR-model-Cannot-Decrease-Objective-Function-Hessian/m-p/311247#M56442ih2020-09-22T21:18:43Z