Timeline for What is the exact log-likelihood of an AR(2) model?
Current License: CC BY-SA 3.0
9 events
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| Jan 27, 2019 at 12:00 | history | tweeted | twitter.com/StackStats/status/1089493365689860096 | ||
| Oct 30, 2018 at 22:55 | comment | added | mlofton | I did find the book and the discussion is more involved than I thought ( and Harvey's descriptions are succinct to say the least ) but my suggestion above is one of them. If you want to read Harvey's discussion and don't have the book, I can send you the pages offline but I imagine that, since it's a pretty generic problem which holds for all AR(p) models, Hamilton and other decent time-series books should discuss it also. Still, I recommend Harvey's text because, although he's succinct, there's a lot of good stuff in there even if you only realize this after reading it 5-10 times as I have. | |
| Oct 30, 2018 at 22:48 | comment | added | mlofton | AFAIK, the initial values in the AR likelihood are a general problem which is dealt with by setting them to the unconditional mean of the process. Therefore, the conditional pdf is not needed. But, for the specifics, harvey's econometric analysis of time series, will most likely have the derivation in there. If I can find the text and the section, I'll reply again. | |
| Oct 30, 2018 at 19:08 | history | edited | kjetil b halvorsen♦ |
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| Sep 29, 2017 at 4:49 | comment | added | dave fournier | I'm curious about the general problem of finding the exact maximum likelihood estimates for any ar(p) time series. I have an approach which seems to be really promising, but kind of silly if this is already solved. If not solved I'll try to write it up as an answer. | |
| May 20, 2016 at 15:21 | comment | added | Mark | I've looked around but haven't been able to find anything on AR(2) models (or indeed AR(p) models). Most questions only deal with AR(1) models. But thanks for the tip, it caused me to look around some more! | |
| May 20, 2016 at 14:44 | comment | added | Richard Hardy | Take a look at the related questions on the right panel, maybe you will find what you need. | |
| May 20, 2016 at 14:39 | review | First posts | |||
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| May 20, 2016 at 14:35 | history | asked | Mark | CC BY-SA 3.0 |