[R] Multivariate Maximum Likelihood Estimation

Konrad BLOCHER kb25532 at sgh.waw.pl
Wed Feb 6 12:11:44 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
(ar.mle function) 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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