Dear R users,


As far as I know, EM algorithm can be only applied to estimate parameter from a regular exponential family. 
A multivariate normal distribution with an AR(1) matrix as covariance matrix does not belong to a regular exponential family, it is belong to  a curved exponential family, so EM algorithm can not be applied to estimate parameters for this kind of  distribution.
I have used nle function from nlme package to estimate variance components with correlation=corAr1, this function uses first EM algorithm to refine the initial estimates of the random effects variance-covariance coefficients and uses them into a Newton-Raphson algorithm.

Do anyone know what kind of modification of the EM algorithm use lme function to solve the problem mentioned below?

Thank you in advance for your help

Francisco



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