[R-sig-ME] Specifying correlation structure

[Gavin Simpson]

On Tue, 2012-05-15 at 11:47 -0400, Highland Statistics Ltd wrote:
> Many thanks for the suggestion. It seems that gls does not like that either:
> 
> >/  (fm<- gls(res ~ 1+reg1+reg2+reg3, correlation=corARMA(c(0.02, 0.03), form=~time|condition, p=1,q=1), data=Dat))
> /
> Error in model.frame.default(formula = ~time + condition + res + reg1 +  :
>    variable lengths differ (found for 'condition')

<snip />

> 
> That is because 'condition' is not in your Dat object. I guess it should be cond.
> Why corARMA and not corAR1?
> 
> I'm actually not sure whether your modelling approach is correct. The
> unit is the subject....but the time | cond is imposing the correlation
> inside the observations from the same condition. Is that what you
> want? It would ignore any correlation between 2 observations from
> different
> conditions....but still from the same subject. But perhaps I did not
> fully understand your original post.

Those are good points Alain. My comment would be that the OP mentioned
that there was just a single subject; whether that was just the example
or a real property of the data, who knows? ;-)

Like you, without further info, whether the nested ARMA(1,1) is
sufficient will depend on the OP providing more info.

G

> 
> Alain
> 
> 
> /
> 

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