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 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:
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, [EMAIL PROTECTED]
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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