fix(arima): handle zero sigma2 in CSS method (#960)

Nixtla · Dec 20, 2024 · 9d0ea52 · 9d0ea52
1 parent 4a5cb06
commit 9d0ea52
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Showing 2 changed files with 8 additions and 2 deletions.
diff --git a/nbs/src/arima.ipynb b/nbs/src/arima.ipynb
@@ -1303,7 +1303,10 @@
     "            fit['xreg'] = xreg\n",
     "        npar = fit['mask'].sum() + 1\n",
     "        if method == 'CSS':\n",
-    "            fit['aic'] = offset + nstar * math.log(fit['sigma2']) + 2 * npar\n",
+    "            if fit['sigma2'] <= 0:\n",
+    "                fit['aic'] = -math.inf\n",
+    "            else:\n",
+    "                fit['aic'] = offset + nstar * math.log(fit['sigma2']) + 2 * npar\n",
     "        if not math.isnan(fit['aic']):\n",
     "            fit['bic'] = fit['aic'] + npar * (math.log(nstar) - 2)\n",
     "            if nstar - npar - 1 != 0:\n",

diff --git a/python/statsforecast/arima.py b/python/statsforecast/arima.py
@@ -784,7 +784,10 @@ def myarima(
             fit["xreg"] = xreg
         npar = fit["mask"].sum() + 1
         if method == "CSS":
-            fit["aic"] = offset + nstar * math.log(fit["sigma2"]) + 2 * npar
+            if fit["sigma2"] <= 0:
+                fit["aic"] = -math.inf
+            else:
+                fit["aic"] = offset + nstar * math.log(fit["sigma2"]) + 2 * npar
         if not math.isnan(fit["aic"]):
             fit["bic"] = fit["aic"] + npar * (math.log(nstar) - 2)
             if nstar - npar - 1 != 0: