[R] linear model with arma errors

[Douglas Bates]

"Gregory BENMENZER" <gregory.benmenzer at gazdefrance.com> writes:

> Dear all,
> 
> I'm looking for how can I estimate a linear model with ar(ma) errors :
> 
> y(t)=a*X(t)+e(t) with
> P(B)e(t)=Q(B)u(t)
> 
> where u is a white noise and P, Q are some polynomes.
> 
> Could you help me ?
> 
> Grégory Benmenzer

Perhaps function gls in the nlme package.  See

help('gls', package = 'nlme')