[R] continuous time AR(1)

[peter dalgaard]

On May 27, 2011, at 18:00 , frossard victor wrote:

> Dear R helpers, 
> I would like to model temporal trend of biological remains in sediment cores.
> All samples are temporally auto-correlated and I would like to take this effect 
> into account.
> Initially I thought that I could use AR(1) or ARIMA functions but these 
> functions only work with regular temporal intervals between samples.
> Hence I would like to use a continuous time AR(1) that allow irregular time 
> intervals between samples.
> Unfortunalty I don't find this function in any R package. 
> Doesn't someone know if this function has already be implemented for R?

library(nlme)
help(corCAR1) 
help(corExp)

You use these corStructs with gls/lme/nlme.

As far as I remember, the corCAR1 is equivalent to corExp without nugget effect (modulo parametrization?), but you often want the nugget effect if some data are very close in time without actually being identical (since corCAR1 implies that the correlation is one for simultaneous observations). 

I wouldn't know about continuous time AR of higher orders (I can't even guess what MA(n) might mean in continuous time).

-pd 

> Many thanks in advance.
> Victor Frossard
> Phd. student.   
> 
> 	[[alternative HTML version deleted]]
> 
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-- 
Peter Dalgaard
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com