MLE for Time Series Chapter 14

Discussion in 'CS2' started by Bill SD, Dec 29, 2019.

  1. Bill SD

    Bill SD Very Active Member

    Chapter 14 Time Series 2: top line of Pg 24 would someone mind elaborating on how the log-likelihood function is calculated (especially where the -1/2 multiplier comes from and why it is squared) as I couldnt follow how this is calculated from the linear regression model given in the question.

    Many thanks in advance
     
  2. Julie Lewis

    Julie Lewis ActEd Tutor Staff Member

    I think you mean p25 (2020 version of notes). Anyway, Yi ~N(a+bxi, sigma^2) and L = product from i=1 to n of f(yi). Formula for f is given on p11 of Tables. Replace mu by a + bxi in this formula, and replace x by yi. Once you have L, take logs.
     

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