How to choose the right optimization options for seasonal ARIMA process?
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Hello everyone!
I want to create a seasonal arima (3,1,2)x(3,1,2) process with seasonality 24. I use the default optimization algorithm sequential quadratic programming. When I run the code I get the following warning:
Nonlinear inequality contraints are active; standard errors may be inaccurate.
After searching the internet I found out that I can choose a wide range of other optimization algorithms. How can I find out which one is the right one for my problem?
Are there any other possibilities to get rid of the warning?
Thanks a lot!
2 Commenti
Matt J
il 27 Set 2014
When I run the code
You should mention what code it is you're running so we're all on the same page.
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Matt J
il 27 Set 2014
The warning is only consequential if you are using the error estimates returned by the routine. The warning isn't saying that the solution is inaccurate, just that the standard error estimates might be.
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