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Error with AR model: Cannot Decrease Objective Function Hessian is not positive definite
Sep 20, 2020 5:21 PM(163 views)
I am getting the following error while producing a ARI(1,1) model. The steps I have followoed to produce the model below are:
1. Analyze > Specialized Modeling > Time Series 2. Select appropriate x and y. 3. Change Autocorrelation Lags to 55 4. Once plotted, click red down arrow near the title and select "Difference". Set Nonseasonal Plot to 1. 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.
I am sure I am following the correct steps. Can anyone help me resolve this issue?
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.
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.