Arun Kumar Saha <arun.kumar.saha <at> gmail.com> writes: > > hi all, > > suppose I have: > > r[i] ~ N(0, h[i]) > h[i] = a + b*r[i-1] + c*h[i-1] for all i=2..........n > > I want to get estimates of a, b, c by mle. > > Can you tell me how to do that? >
(1) can you convince us this isn't a homework problem? (a little bit more context would be nice in any case) (2) are both r and h observed? if so, then your (negative log-)likelihood function can use something along the lines of -sum(dnorm(r,mean=...,sd=...,log=FALSE))-sum(dnorm(h,mean=...,sd=...,log=FALSE)) where you fill in the predicted mean and std. dev. of each. Ben Bolker ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
