[R] Phi parameter in corAR(1) in NLMEs
Nelson, Kerrie P.
KPNELSON at PARTNERS.ORG
Tue Aug 7 16:02:54 CEST 2007
Hello,
I have been fitting nonlinear models with random effects using nlme with the
corCAR1 correlation structure, as I have unequally spaced observations per
subject, and serially correlated errors. My question is regarding the Phi
parameter.
Example of output:
Correlation Structure: Continuous AR(1)
Formula: ~day | subject
Parameter estimate(s):
Phi
0.8475842
After reading the Pinheiro and Bates (2000), and Jones (1993) texts I am
uncertain whether the estimate of Phi given in the output is:
- the correlation between two observations one time unit apart, i.e. phi(t2-t1)
= phi(1) = 0.8475842
- or is the parameter in the exponential term, exp(-phi(t2-t1)), i.e the
correlation between two observations one unit apart is exp(-0.8475842*(t2-t1)) =
exp(-0.8475842*1) = 0.4284
- or if there is another interpretation altogether
Thank-you very much for any clarification on this, I appreciate your help!
Kerrie Nelson,
Biostatistics Unit,
MGH
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