require(dlm)
start.vals = c(0,0,0)
names(start.vals) = c("lns2_obs", "lns2_alpha", "lns2_beta")
buildTVP <- function(parm, x.mat){
parm <- exp(parm)
return( dlmModReg(X=x.mat, dV=parm[1], dW=c(parm[2], parm[3])) )
}
TVP.mle = dlmMLE(y=k[,1], parm=start.vals, x.mat=k[,2], build=buildTVP, hessian=T)
in this code, k[,1]
and k[,2]
are 2 stocks prices. on TVP.mle
line I got
Error in optim(parm, logLik, method = method, ...) : L-BFGS-B needs finite values of 'fn' " error.
k file link: https://drive.google.com/open?id=1scLaKRpSdmp-1T9qTp_5cEcBFnWKDAus
I could not find my mistake. Could you help me please?