[R] loglik and arima()

markleeds at verizon.net markleeds at verizon.net
Tue Feb 10 20:49:52 CET 2009

  hi: maybe it's minimizing the negative of the likeihood rather than 
maximizing the likelihood ?
other than that, i don't see that being possible because of what you 
said. see what
happens if you estimate an arima(1,1,3) ?

On Tue, Feb 10, 2009 at 12:51 PM, Stephen Collins wrote:

> All -
> I am evaluating an arima(2,1,3) and arima(3,1,3) and notice the 
> log-likelihood of the restricted model is higher than the 
> log-likelihood of the unrestricted.
> Since these are nested models, I thought the unrestricted model would 
> have a log-likelihood at least as large as that of the restricted 
> model.  Am I interpreting the "loglik" output incorrectly?
> Regards,
>    Stephen Collins, MPP | Analyst
> Health & Benefits | Aon Consulting
> 200 East Randolph, Suite 900, Chicago, IL
> Tel: 312-381-2578 | Fax: 312-381-0136
> Email: stephen_collins at aon.com
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