[R] Maximum likelihood acf

From: Alain Guillet <guillet_at_stat.ucl.ac.be>
Date: Fri 12 Jan 2007 - 13:21:16 GMT


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 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

tel: +32 10 47 30 50

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Received on Sat Jan 13 00:48:54 2007

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