Unobserved components model using the linear innovations state space representation (single source of error).
Key features:
Methods for specification (modelspec), estimation (estimate), summary with choice of vcov (summary and vcov), diagnostics (tsdiagnose), online filtering (tsfilter), prediction (predict), simulation (simulate), backtesting (tsbacktest) and profiling (tsprofile). Additionally, model selection (auto_select) and ensembling (tsensemble) is also included.
The default algorithm from the nloptr solver is SLSQP which will sometimes return NaN in the sampled parameters during a difficult optimization. This will immediately terminate the estimation with an error. The termination was introduced in version 1.0.2 of the package else it would crash the R process as a result of a crash in the underlying RTMB eigen evaluation function.
Currently, we try to catch these cases whenever there is no default control list passed (i.e. it is NULL) and switch to another algorithm in those cases (see documentation of estimate). However, for safety, the users can wrap the estimate in a try expression, and when it does fail can switch to using the AUGLAG/MMA algorithm of the nloptr solver which does not return NaN parameters:
# default algorithm is SLSQP
mod <- try(estimate(spec), silent = TRUE)
if (inherits(mod, 'try-error')) {
mod <- estimate(spec, control = issm_control(algorithm = "AUGLAG/MMA"))
}
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