[R-sig-ME] corARMA in lme (Arnaud Mosnier)

Highland Statistics Ltd highstat at highstat.com
Wed Nov 7 15:33:29 CET 2012

On 07/11/2012 13:00, r-sig-mixed-models-request at r-project.org wrote:
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>     1. corARMA in lme (Arnaud Mosnier)
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> ----------------------------------------------------------------------
> Message: 1
> Date: Tue, 6 Nov 2012 12:59:19 -0500
> From: Arnaud Mosnier <a.mosnier at gmail.com>
> To: "r-sig-mixed-models at r-project.org"
> 	<r-sig-mixed-models at r-project.org>
> Subject: [R-sig-ME] corARMA in lme
> Message-ID:
> 	<CANkFkEd3ph3pLw-yUpRXCk3U=GMsgFqR-Qneh5BF8Xx4m1dFHg at mail.gmail.com>
> Content-Type: text/plain
> Dear mixed-models useRs,
> I made a mixed model of the form
> lme(Distance ~ season, random = ~1|yearTagged/tag, correlation =
> corAR1(form= ~Time|yearTagged/tag), data = dat)
> or
> lme(Distance ~ season, random = ~1|yearTagged/tag, correlation =
> corARMA(form= ~Time|yearTagged/tag, p=1, q=1), data = dat)
> In the AR1 model, the Phi value obtained for the corAR1 structure is 0.
> In the ARMA(1,1) model, both Phi1 and Theta1 are equal to 0.
> I find this strange. I believed first that it was caused by the fact that
> yearTagegd and tag variables were not considered as factor, but it did not
> change anything if I convert them to factor.
> The temporal autocorrelation is not obvious in the residuals of the model
> without a temporal structure included (i.e. without corAR1 or corARMA), but
> can I conclude that there is not correlation based on Phi value ?

Arnaud...no you cannot conclude that. The random effect structure is 
already imposing a correlation on the data from the same tag, and also 
on data from the same yearTagged. Phi alone does not quantify your 
correlation. The ARMA is trying to add extra correlation. On top of 
that..the AR and ARMA correlation structures are quite specific.

If you think that there should be correlation, try different starting 
values for the phi.


> Thanks for your help,
> Arnaud
> 	[[alternative HTML version deleted]]


Dr. Alain F. Zuur
First author of:

1. Analysing Ecological Data (2007).
Zuur, AF, Ieno, EN and Smith, GM. Springer. 680 p.
URL: www.springer.com/0-387-45967-7

2. Mixed effects models and extensions in ecology with R. (2009).
Zuur, AF, Ieno, EN, Walker, N, Saveliev, AA, and Smith, GM. Springer.

3. A Beginner's Guide to R (2009).
Zuur, AF, Ieno, EN, Meesters, EHWG. Springer

4. Zero Inflated Models and Generalized Linear Mixed Models with R. (2012) Zuur, Saveliev, Ieno.

Other books: http://www.highstat.com/books.htm

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