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Dunk
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Posts: 1
Joined: February 17th, 2011, 4:53 pm

Maximum Likelihood Log Likelihood

February 18th, 2011, 1:18 pm

Need to program some rudimentary fitting for various time series processes. Is there a good source (resource) of maximum likelihood or log likelihood functions corresponding to processes (Vasicek, CIR, Jump Diffusion, GARCH, autoregressive, moving average)? No MATLAB used here - sorry - and also no math wiz here - so I am not all the interested in the derivations. Thanks
 
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fab10ab
Posts: 64
Joined: February 13th, 2006, 1:37 pm

Maximum Likelihood Log Likelihood

February 18th, 2011, 1:41 pm

Pretty difficult to implement MLE for the processes you are talking about without programming, unfortunately. Try www.Volopta.com.
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Maximum Likelihood Log Likelihood

February 18th, 2011, 1:46 pm

Matlab's Curve Fitting Toolbox and other applications like Stat::Fit can do fittings for time series for you without coding.
 
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marcoaaguiar
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Joined: February 4th, 2011, 4:03 pm

Maximum Likelihood Log Likelihood

February 20th, 2011, 6:20 pm

If you dont have MATLAB you should take a look in the NumPy extesion for Python, people says that it can replace the matlab...
 
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frenchX
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Joined: March 29th, 2010, 6:54 pm

Maximum Likelihood Log Likelihood

February 20th, 2011, 6:33 pm

QuoteOriginally posted by: marcoaaguiarIf you dont have MATLAB you should take a look in the NumPy extesion for Python, people says that it can replace the matlab...I've already dealt with Numpy and Scipy for Python (I have to confess it was almost 4 or 5 years ago so it may have evolved) but despite the fact that they are very nice they aren't as complete as the matlab toolboxes.But they have the main advantage to be FREE. And according to the level of complexity you want for your analysis it could be enough.