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Multivariate normal

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Multivariate normal

  Dear people

   I have y ~ Normal (0, theta*A(rho)), where theta is a scalar and A(rho) is a first-order autoregressive structure.

   I need to estimate theta and rho.

   I'm trying to use NLPNRA whithin PROC ILM, but I don´t know how to work with literal matrix in a log-likelihood.

   Can someone help me, please??

   Thanks a lot!

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