In fact, I need it in the general case, not only for an ARMA process. Unfortunately, I have no reference to give so I will code it. Sorry for the trouble.
Alain Prof Brian Ripley a écrit : > On Fri, 12 Jan 2007, Alain Guillet wrote: > >> Prof. Brian Ripley, >> >> You are right, my question was not clear. >> >> In fact, I want to estimate the k first components of the acf, i.e. I >> want to estimate the k parameters (c(0),c(1),...c(k-1)), where c is the >> autocorrelation function, by a maximum likelihood estimator. > > And does ARMAacf applied to the result of ar.mle not do just that? > An accessible reference would help us, if not. > >> >> Alain >> >> >> >> Prof Brian Ripley a écrit : >>> You will need to give us a reference, as the acf is not a parameter in >>> a model in your description and MLEs apply to model parameters. >>> >>> Just possibly ar.mle is what you are looking for, perhaps plus ARMAacf? >>> >>> On Fri, 12 Jan 2007, Alain Guillet wrote: >>> >>>> Hello! >>>> >>>> I am looking for a function which computes the maximum likelihood >>>> estimator of the autocorrelation function for a gaussian time series. >>>> Does a such function already exist in R? >>>> The estimator by default in R, acf(), uses the method of moments. >>>> >>>> Thanks a lot, >>>> Alain >>>> >>>> >>>> >>> >> >> > -- Alain Guillet Statistician and Computer Scientist Institut de statistique - Université catholique de Louvain Bureau d.126 Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium tel: +32 10 47 30 50 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.