additional checks/catches for hessian

Author: alexiosg

NEWS.md

@@ -2,8 +2,7 @@
 
 * Now returning the series name of the data in the spec object for use in
 multivariate models.
-
-* If the hessian cannot be calculated in the first step for the scaling, then
+* If the hessian cannot be calculated in the first or second step for the scaling, then
 a numerical approximation is used instead. There seems to be some instability
 in the egarch-nig model for some datasets.
 

R/estimate.R

@@ -188,6 +188,10 @@ solve_model <- function(init_pars, env, const, lower, upper, control) {
     scaled_sol <- solve_model(init_pars = scaled_init_pars, env = scaled_env, const = scaled_const, lower = scaled_lower, upper = scaled_upper, control = control)
     scaled_sol$par_scale <- par_scale
     hessian <- scaled_tmb$he()
+    if (any(is.na(hessian))) {
+        warning("\nunable to calculate hessian for parameter scaling in scaling step. Reverting to numerical estimation.")
+        hessian <- hessian(scaled_env$fun, x = scaled_sol$solution, env = scaled_env)
+    }
     scores <- jacobian(score_function, scaled_sol$solution, env = scaled_env)
     m <- object$model_options[1]
     sig <- scaled_env$tmb$report(scaled_sol$solution)$sigma

man/tsgarch-package.Rd

@@ -163,12 +163,8 @@ namespace distfun{
     Type fwd_kappagh(Type x, Type lambda)
     {
         Type kappa = Type(0.0);
-        if(lambda == Type(-0.5)) {
-            kappa = Type(1.0)/x;
-        } else {
-            Type tmp = lambda + Type(1.0);
-            kappa = (fwd_scaled_besselK(x, tmp) /fwd_scaled_besselK(x, lambda)) / x;
-        }
+        Type tmp = lambda + Type(1.0);
+        kappa = (fwd_scaled_besselK(x, tmp) /fwd_scaled_besselK(x, lambda)) / x;
         return kappa;
     }
     VECTORIZE2_tt(fwd_kappagh)