Re: [R] Maximum likelihood acf

From: Prof Brian Ripley <>
Date: Fri 12 Jan 2007 - 14:04:19 GMT

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,        
Professor of Applied Statistics,
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Sat Jan 13 01:14:26 2007

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