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I'm fitting a $$ARIMA(p,d,q)\times (P,D,Q)_{12}$$ model. The first loop fits p and q. The second loop fits P and Q. Here, d and D are both assumed to be 0 since I'm looking at the interaction between two cycles.

<<arima,echo=FALSE, fig.show='hold', tidy=TRUE>>=
aic_table <- function(data,P,Q,xreg=NULL){
  table <- matrix(NA,(P+1),(Q+1))
  for(p in 0:P) {
    for(q in 0:Q) {
      table[p+1,q+1] <- arima(data,order=c(p,0,q),xreg=xreg, method="ML")$aic
    }
  }
  dimnames(table) <- list(paste("AR",0:P, sep=""),paste("MA",0:Q,sep=""))
  table
}
u_aic_table <- aic_table(cars_hp$cycle,5,4,xreg=steel_hp$cycle)
@

#a and b are found from the previous step
<<sarima,echo=FALSE, fig.show='hold', tidy=TRUE>>=
aic_table2 <- function(data,P,Q,xreg=NULL){
  table <- matrix(NA,(P+1),(Q+1))
  for(p in 0:P) {
    for(q in 0:Q) {
      table[p+1,q+1] <- arima(data,order=c(5,0,3),xreg=xreg, seasonal = list(order = c(p,0,q), Period=12))$aic
    }
  }
  dimnames(table) <- list(paste("AR",0:P, sep=""),paste("MA",0:Q,sep=""))
  table
}
u_aic_table2 <- aic_table2(cars_hp$cycle,5,4,xreg=steel_hp$cycle)

The thing is when I try this, I can get ACF values under the ARIMA just fine. It's when I run the second loop that I get issues. Is there a workaround for this? Is it because I'm using the cyclic decompositions of each time series? I want to understand how my cars time series relates to the steel time series.

     Error in optim(init[mask], armafn, method = optim.method, hessian = TRUE,  : 
  non-finite finite-difference value [1] 
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  • $\begingroup$ Could you describe verbally what you code does? It will help those of us who are too lazy to figure that out by reading the code carefully. $\endgroup$ – Richard Hardy May 6 '16 at 14:12
  • $\begingroup$ I'm fitting a $$ARIMA(p,d,q)\times (P,D,Q)_{12}$$ model. The first loop fits p and q. The second loop fits P and Q. Here, d and D are both assumed to be 0 since I'm looking at the interaction between two cycles. $\endgroup$ – Glassjawed May 6 '16 at 14:24
  • $\begingroup$ Thank you. It would be even better if you included that at the top of your original post. $\endgroup$ – Richard Hardy May 6 '16 at 15:06

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