[R] Maximum likelihood acf
Prof Brian Ripley
ripley at stats.ox.ac.uk
Fri Jan 12 16:40:13 CET 2007
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.
> Prof Brian Ripley a écrit :
>> 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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