google-code-export / chainladder

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vcov.ClarkLDF fails on LARGE triangles #8

Open GoogleCodeExporter opened 9 years ago

GoogleCodeExporter commented 9 years ago
There's a "tiny" glitch I came across when running the ClarkLDF method on LARGE 
triangles. Since the origin year parameters are large while the growth curve 
parameters are small, the ____number (forgot the term) of the matrices over 
which the optimization is run is too small. Behind the scenes I scale the 
observations to avoid that situation (a common fix), and the solution is found. 
However, the vcov method does a recalculation "from scratch" and the 
_____number error is raised at that time. An easy fix would be to calculate the 
vcov matrix with the scaled data and save the unscaled matrix in the result. 
Since no one besides me (that I know of) has come across this glitch, it's low 
on my priority list.

Original issue reported on code.google.com by chiefmur...@gmail.com on 10 Nov 2012 at 10:06