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
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
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.
Alain
Prof Brian Ripley a
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
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
