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AugmentedDickeyFuller Non-Invertible Array

Home 21090308 Forums Numerical Method Statistics AugmentedDickeyFuller Non-Invertible Array

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  • #1946
    ozcanalp
    Member

    What would cause this error when running a ADF test on a ~1500 datapoint array? It seems to work for some datasets (of the same size) but not others.

    Exception in thread “main” java.lang.IllegalArgumentException: L is not invertible
    at com.numericalmethod.suanshu.misc.ArgumentAssertion.assertTrue(rkb:513)
    at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.(eeb:233)
    at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.K(eeb:2)
    at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.(eeb:212)
    at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.(eeb:117)
    at com.numericalmethod.suanshu.stats.regression.linear.LMProblem.invOfwAtwA(cg:250)
    at com.numericalmethod.suanshu.stats.regression.linear.ols.OLSBeta.covariance(fn:243)
    at com.numericalmethod.suanshu.stats.regression.linear.BetaCoefficient.stderr(ti:189)
    at com.numericalmethod.suanshu.stats.test.timeseries.adf.AugmentedDickeyFuller.statistics(gg:115)
    at com.numericalmethod.suanshu.stats.test.timeseries.adf.AugmentedDickeyFuller.pValue(gg:204)

    #2242
    Ryu
    Member
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