Problem of maximum likelihood estimation of time series

[rayy23]

Hi everyone,

I have a problem of how to calculate the MLE for a given time series data set.
I have read the book Statistical Method for Forecasting, there are some example of building AR model but it simply stated that the MLE are the multiple of two quantities. I have no idea on how these quantities come from.
Any help

 

[staassis]

Please start reading with this page

http://en.wikipedia.org/wiki/Maximum_likelihood

You may also take a look into

Green W., "Econometric Analysis".