[R] Maximum likelihood acf
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.
Re: [R] Maximum likelihood acf
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 -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UKFax: +44 1865 272595 __ 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.
Re: [R] Maximum likelihood acf
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 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.
Re: [R] Maximum likelihood acf
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 -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UKFax: +44 1865 272595__ 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.
Re: [R] Maximum likelihood acf
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.
