function loglike_ARMA11(psi,X,y) T = length(y) H = sparse(I,T,T) + psi*sparse(2:T,1:T-1,ones(T-1),T,T) HH = H*H' rhohat = (X'*(HH\X))\(X'*(HH\y)) uhat = y-X*rhohat sigma2hat = uhat'*(HH\uhat)/T l = -T/2*log(2*pi*sigma2hat) - .5/sigma2hat*uhat'*(HH\uhat) return l, rhohat, sigma2hat end