[R] Error in f(x, ...) : subscript out of bounds

[Uwe Ligges]

Jason.L.Higbee at stls.frb.org wrote:

> R-Listers:
> 
> I am doing a quasi-maximum likelihood estimation and I get a "subscript 
> out of bound" error message,  Typically I would think this means that a 
> subscript used in the function is literally out of bounds however I don't 
> think this is the case.  All I change in the code is a constant, that is 
> hard-wired in (not data dependent and not parameter dependent), 
> furthermore, the constant is not used in any subscripting.
> 
> Sorry I cannot provide a toy example, but the likelihood function looks 
> like this:
> 
> lnL <- function(theta, gsvr, gsvR) { 
>             # theta[1]= mu, theta[2]=gamma, theta[3]=kappa1, 
> theta[4]=kappa2
>             nn <- 252
>             d <- 0:nn
>             wd <- exp((theta[3] * d + theta[4] * d^2))/(sum(exp(theta[3] * 
> d + theta[4] * d^2)))
>             sigsq <- numeric(length(gsvR$ret))
>             x <- numeric(length(gsvR$ret)

Obviously, this is not the original code you have got a problem with, 
since a delimeter is missing the line above. Please don't send code you 
have not tested yourself ....




> 
>         # Below this line can be specified differently
>              x[1] <- 1
>             lenR <- length(gsvR$ret)
>             for (i in 1:(lenR-1)) {
>                     x[i+1] <- sum(gsvR$rw[1:i]) + 1
>                     rsq <- (gsvr$ret[(x[i]):(nn+x[i])])^2
>                     sigsq[i] <- 22 * sum(wd * rsq)
>             }
>  
>            if((nn+x[lenR]) < length(gsvr$ret)) rsq <- 
> (gsvr$ret[(x[lenR]):(nn+x[lenR])])^2 else rsq <- NA
>            sigsq[length(gsvR$ret)] <- 22 * sum(wd * rsq)
>            sigsq <- na.omit(sigsq)
>             sigsq <- sigsq[-1]
>            # Above this line can be specified differently
> 
>             Ret <- gsvR$ret[1:length(sigsq)]
>             mymu <- (theta[1]+theta[2]*(sigsq))
>             n <- length(wd)#/22 
>             ll <- numeric(length(sigsq))
>             for (j in 1:length(sigsq)) {
>             ll[j] <- -(n/2) * log(2*pi) - (n/2) * log(sigsq[j]) - 0.5 * 
> sum(((Ret - mymu[j])^2)/(sigsq[j]))
>             } 
>             l <- mean(ll)
>             -l
>        }
> #########Alternative specitication################
>             for (i in 1:(length(gsvR$ret))) {
>             x[i] <- sum(gsvR$rw[1:i]) + 1
>             rsq <- (gsvr$ret[(x[i]):(nn+x[i])])^2
>             sigsq[i] <- 22 * sum(wd * rsq)
>  
>             }
>  
>             sigsq <- na.omit(sigsq)
> ###############################################
> 
> 
> 
> The constant that is changed is "n" when the n <- length(wd)/22 the 
> optimization converges using both nlm and optim(with the default method), 
> however with n <- length(wd) the functions returns the subscript out of 
> bounds error message.  Maximizing the likelihood with the alternative 
> specification replacing the  code marked in the original function allows 
> the optimization to converge.  It should be noted that the original 
> likelihood function and the alternative specification return the same 
> likelihood value when evaluated at the initial values.
> 
> I realize that in the original specification the variable sigsq could be 
> all NAs and na.omit(sigsq) would produce a zero length vector, upon which 
> sigsq[-1] would be out of bounds, however the original specification 
> converges when n<-length(wd)/22, in which case the aforementioned case 
> would still be true.  Plus both specifications evaluate the initial values 
> when submitted line by line (rather than in the function), using both 
> n<-length(wd)/22 and n<-length(wd).
> 
> Could the error "subscript out of bounds" mean something different?  Is 
> there likely to be a bug? 

I'm pretty sure it's a big in your code.

I haven't checked the rest of your code, since it doesn't seem to make 
sense to look into code that is buggy by copy&paste or whatever (see above).

There are *many* lines where your code might result in invalid 
subscripts, depending on the data.

Say length(gsvR$ret) == 1, then:

  lenR <- length(gsvR$ret) # lenR == 1
  for (i in 1:(lenR-1)) {  # 1:(lenR-1) == 1:0 !!!!!
   x[i+1] <- sum(gsvR$rw[1:i]) + 1 # 1:i == 1:0 !!!!!

in for() you might want to use seq(along = gsvR$ret)


Uwe Ligges




> I am using:
> 
> 
>>version
> 
>          _ 
> platform i386-pc-mingw32
> arch     i386 
> os       mingw32 
> system   i386, mingw32 
> status 
> major    1 
> minor    8.0 
> year     2003 
> month    10 
> day      08 
> language R 
> 
> 
> Thanks for reading, and/or replying to this.
> 
> Jason Higbee
> Research Associate
> Federal Reserve Bank of St. Louis
> T: 314.444.7316
> F:314.444.8731
> 	[[alternative HTML version deleted]]
> 
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