Peter Ruckdeschel
2019-Dec-04 10:30 UTC
[Rd] Assumption of Gaussian innovations in function stats::arima
Hi, if I read the help to function stats::arima carefully enough, I have not found any mentioning of the assumption that the innovations e[t] (notation from the help file) be Gaussian. I think this assumption should be included. In particular, the returned information on the log likelihood would be wrong otherwise. Best regards, Peter Ruckdeschel