log likelihood function ARMA

rydams

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Nov 14, 2015
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To derive the log likelihood function of an MA(1) we condition on ϵ0\displaystyle \epsilon_0 .
But when deriving the log likelihood function function for an AR(1) we don't.
Why not? Is it just because ϵ0\displaystyle \epsilon_0 isn't found in the AR(1) equation?
 
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