Re: [R] Estimation of AR(1) model by QML.

2013-12-30 Thread Prof Brian Ripley
On 30/12/2013 22:57, Simon Zehnder wrote: Why not using optim on the likelihood in a) with normally distributed standard errors and for b) optim with a likelihood with t(3)-distributed standard errors? Because evaluating the likelihood is a tricky business here. I don't know what is meant by

Re: [R] Estimation of AR(1) model by QML.

2013-12-30 Thread Simon Zehnder
Why not using optim on the likelihood in a) with normally distributed standard errors and for b) optim with a likelihood with t(3)-distributed standard errors? Best Simon On 30 Dec 2013, at 21:19, Xuse Chuse wrote: > Dear Users, > > I am trying to estimate a model Y(t)=alpha+rho*Y(t-1)+e(t)

[R] Estimation of AR(1) model by QML.

2013-12-30 Thread Xuse Chuse
Dear Users, I am trying to estimate a model Y(t)=alpha+rho*Y(t-1)+e(t) where i know e(t)~t(3). a) I want to estimate (alpha, rho) by QML estimation assuming (wrongly) that e(t)~N(0,sigma2) and calculate the standard errors. b) Estimate (alpha, rho) by ML estimation assuming (correctly) e(t)~t(3)