[R] Maximum likelihood acf

Prof Brian Ripley
Fri, 12 Jan 2007 15:40:13 -0000

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)
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