[R] Maximum likelihood acf
Prof Brian Ripley
ripley at stats.ox.ac.uk
Fri Jan 12 15:04:19 CET 2007
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:
> 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,
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
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