[R] (1) arima.mle implementation; (2) r-newbie forum
pgilbert at bank-banque-canada.ca
Mon Apr 10 17:19:59 CEST 2000
>Has arima.mle (MASS, Ch.15, p.464) been implemented in R?
>it was suggested
>that Paul Gilbert's DSE library might offer comparable
>functions. Is this the way to go?]
(I am hoping to soon have a new version of DSE in the development area
My library has several multivariate time series estimation techniques,
but maximum likelihood is not currently working and probably will not be
for some time to come. For a long time I thought maximum likelihood was
the best way to estimate. But, while discussing rather unimpressive
results from simulation tests, a friend remarked that "every knows mle
gives good in sample fit at the expense of out of sample prediction."
Whether everyone knows that I rather doubt, but in any case it is
certainly consistence with my experience and is the main reason I do not
expect to fix maximum likelihood estimation in DSE anytime soon. (Not to
mention that ml estimation of multivariate time series models takes days
on fast computers and one is never really sure about convergence.)
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