log likelihood function ARMA

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rydams
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Joined: Sat Nov 14, 2015 3:56 am

log likelihood function ARMA

Postby rydams » Sat Nov 14, 2015 4:21 am

To derive the log likelihood function of an MA(1) we condition on ϵ_0.
But when deriving the log-likelihood function function for an AR(1) we don't.
Why not? Is it just because ϵ_0 isn't found in the AR(1) equation?
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