We introduce a new method to accurately and eciently estimate the eective dynamics of collective variables in molecular simulations. Such reduced dynamics play an essential role in the study of a broad class of processes, ranging from chemical reactions in solution to conformational changes in biomolecules or phase transitions in condensed matter systems. The standard Markovian approximation often breaks down due to the lack of a proper separation of time scales and memory eects must be taken into account. Using a parametrization based on hidden auxiliary variables, we obtain a generalized Langevin equation by maximizing the statistical likelihood of the observed trajectories. Both the memory kernel and random noise are correctly recovered by this procedure. This data-driven approach provides a reduced dynamical model for multidimensional collective variables, enabling the accurate sampling of their long-time dynamical properties at a computational cost drastically reduced with respect to all-atom numerical simulations. The present strategy, based on the reproduction of the dynamics of trajectories rather than the memory kernel or the velocityautocorrelation function, conveniently provides other observables beyond these two, including e.g. stationary currents in non-equilibrium situations, or the distribution of rst passage times between metastable states.