[R] multivariate mle ar(1)

Konrad BLOCHER kb25532 at sgh.waw.pl
Tue Feb 5 23:41:39 CET 2008


Hi,

I am trying to perform Maximum Likelihood estimation of a Multivariate
model (2 independent variables + intercept) with autocorrelated errors of
1st order (ar(1)).

Does R have a function for that? I could only find an univariate option
and when writing my own I find that it is pretty memory-consuming (and
sometimes wrong) so there must be a better way.

Thanks,

KB



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