Estimating ARMA using Maximum Likelihood (and actually understand MLE)
So far we have covered AR (AutoRegressive) processes. In this video we will cover the second part, MA processes and estimate this using Maximum Likelihood Estimation (MLE). We can then group these together to form ARMA.
MLE is actually where we will focus the bulk of our attention in our analysis. Maximum Likelihood Estimation is a very useful estimation technique for all sorts of models and processes, not just ARMA. So covering it well know will help you with understanding and implementation of many other modelling processes in financial time series.
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