[R] Maximum likelihood acf

Prof Brian Ripley
Fri, 12 Jan 2007 14:04:19 -0000

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/
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