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 - Universit? catholique de Louvain Bureau d.126 Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium tel: +32 10 47 30 50
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, ripley at stats.ox.ac.uk 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, UK Fax: +44 1865 272595
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 ?crit :> 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 - Universit? catholique de Louvain Bureau d.126 Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium tel: +32 10 47 30 50
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 ?crit : >> 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, ripley at stats.ox.ac.uk 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, UK Fax: +44 1865 272595
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 ?crit :> 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 ?crit : >>> 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 - Universit? catholique de Louvain Bureau d.126 Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve Belgium tel: +32 10 47 30 50