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Problems with SsfFit

To: s-news@lists.biostat.wustl.edu
Subject: Problems with SsfFit
From: "Bernardo Ribeiro" <ribeirob@gmail.com>
Date: Mon, 13 Aug 2007 22:03:21 -0300
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Hey all,

I'm working with a Term Structure model ans modelling it as part of a State Space form.
I modelled the State Space form but kee gettin this error whe I run SSfFit:

> ans.vasicek = SsfFit(start, fama.bliss, genvasicek.ssf, tau = tau, freq = 1/
    12, trace = T, lower = l, upper = u, control = nlminb.control(abs.tol
     = 1e-006,  , rel.tol = 1e-006, x.tol = 1e-006, eval.max = 1000,
    iter.max = 500))
Iteration  0 : objective =  1389460
Iteration  1 : objective =  11434.01
Iteration  2 : objective =  2453.152
Iteration  3 : objective =  6401.252
Iteration  4 : objective =  -75.86472
Iteration  5 : objective =  1e+010
.....
Iteration  135 : objective =  -3807.041
Iteration  136 : objective =  -3807.044
Iteration  137 : objective =  -3807.051
Iteration  138 : objective =  -3818.088
Problem in .C("S_KalmanFil",: subroutine S_KalmanFil: Missing values in argument 5
Use traceback() to see the call stack

When I call traceback() I get the following:

> traceback()
17: eval(action, sys.parent())
16: doErrorAction("Problem in .C(\"S_KalmanFil\",: subroutine S_KalmanFil: Missing values in argument 5",
15: .C("S_KalmanFil",
14: .C("S_KalmanFil",
13: KalmanFil(mY, ssf, ikf = ikf, task = "KFLIK")
12: SsfLoglike(mY, ssf.mod, ikf = ikf)
11: f(c(0., 0.449490474962204, 0.149007241071586 , 0.0121000776637863,
10: eval(this.call, local = sys.parent(1.))
9: do.call("f", c(list(new$x), old$aux[names(f)[ - c(1, length(f))]]))
8: nlminb.0(temp, p, liv, lv, objective, bounds, scale)
7: nlminb.trace (parm, loglike.fun, mY = data, FUN = FUN, conc = conc, scale =
6: SsfFit(start, fama.bliss, genvasicek.ssf, tau = tau, freq = 1/12, trace = T,
5: eval(i, local)
4: source(auto.print = auto.print, exprs = substitute( exprs.literal))
3: script.run(exprs.literal = {
2: eval(_expression_(script.run(exprs.literal = {
1:
Message: Problem in .C("S_KalmanFil",: subroutine S_KalmanFil: Missing values in argument 5

Doen anyone know what is going on?

Thanks a lot,

Bernardo

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