Exercise: Maximum Likelihood Estimation Of Gaussian AR(p)
Channel: Willi Mutschler
Date: 2021-11-02

In this exercise we will derive the Maximum Likelihood estimator for an AR(p) model based on the conditional likelihood. We will also write a MATLAB function that computes the log-likelihood (conditional on p pre-sample observations) and use a numerical optimizer to compute the ML estimate and its standard error by using the asymptotic information matrix (i.e. the inverse of the Hessian of the log-likelihood).