[R] Maximum likelihood acf

Alain Guillet
Sat, 13 Jan 2007 01:34:43 -0000

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
>>>>
>>>>
>>>>
>>>