Re: [R] Errors Calculating MVN Likelihood of Time Series with AR(1) Errors

Peter, Thanks very much for the advice. It looks like you're exactly right and the above-cited document may not be exactly right. Instead this ( http://pic.dhe.ibm.com/i

[R] Errors Calculating MVN Likelihood of Time Series with AR(1) Errors

Hi all, I'm having trouble calculating the likelihood of a time series with AR(1) errors. I am generating my covariance matrix according to page 2 of ( http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-timeseries-regression.pdf), using the library mvtnorm and the multivariate normal den