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The issue can be resolved by using in the SPKalmanFilter(engine="numpy"). I discussed this issue with @dbrakenhoff and we suspect that engine="numpy" is more robust since it fills in inf or nan for logarithms and fractions automatically while engine="numba" does not.
This can be resolved by allowing the user to specify the SPKalmanFilter engine which is currently only possible by changing the source code.
The text was updated successfully, but these errors were encountered:
Option for passing engine has been implemented by #13.
Issue remains open to figure out why engine="numba" fails and engine="numpy" produces a communality >100% and some runtime warnings about illegal values in np.log.
For some datasets, the optimization does not succeed due to a ZeroDivisionError in SciPy.
Can be reproduced with the following dataset: test.csv
The issue can be resolved by using in the SPKalmanFilter(engine="numpy"). I discussed this issue with @dbrakenhoff and we suspect that
engine="numpy"
is more robust since it fills ininf
ornan
for logarithms and fractions automatically whileengine="numba"
does not.This can be resolved by allowing the user to specify the SPKalmanFilter engine which is currently only possible by changing the source code.
The text was updated successfully, but these errors were encountered: