Re: [R] Maximum likelihood acf

From: Alain Guillet <guillet_at_stat.ucl.ac.be>
Date: Fri 12 Jan 2007 - 15:08:50 GMT

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

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Received on Sat Jan 13 02:27:05 2007

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