Maximum Likelihood Estimation of the MA(1) Model

[@gppark91]

Thanks a lot. I m south korean student :)

[@최현호-s3c]

Me too :)

[@ikanurhamdiyah3239]

How to estimate ARIMA(p,d,q) or example ARIMA(3,1,1) using MLE?

[@BenOgorek]

Instead of "setting" epsilon_0 to 0, can you think of 0 as being the maximimum likelihood estimate of epsilon_0?

[@danpovey]

Warning: at the end he says it's a highly nonlinear problem with no analytical solution.

[@RTM-k1j]

The epsilons cannot be computed without alpha. Where does alpha come from??

[@BenOgorek]

alpha is a parameter you're trying to estimate. Numerical algorithms will take a starting value, like alpha = .5, compute the likelihood, and travel in a direction towards greater likelihood values.

[@denisbaranoff]

Thank you!