[R-sig-ME] Non-diagonal sampling covariance with lme4

Douglas Bates bates at stat.wisc.edu
Mon Nov 17 17:07:57 CET 2014

You can "pre-whiten" the response and the model matrices by multiplying by
either the right or left inverse Cholesky factor of V.  (I always need to
write out the equations before i can determine if I should use the left or
the right factor.)

On Mon Nov 17 2014 at 9:11:45 AM Asaf Weinstein <asafw.at.wharton at gmail.com>

> Hi all,
> I would like to obtain ML (or REML) estimates for theta, beta, sigsq in
> Y|B=b ~ N( Zb + Xbeta, sigsq*V )
> B ~ N( 0,Sigma(theta) )
> where V is a known covariance matrix. lmer() does exactly that for V=I_n
> (the n-by-n identity matrix); I wonder if there is a way to specify an
> arbitrary covariance matrix.
> Thanks so much,
> Asaf
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