That's discussed in Pinhiero and Bates, Mixed Effects Models in S and S-Plus. I don't have the book in my hand now, so I can't tell you exactly where to find it. However, I'm pretty confident that it can be done in "lme".
Only if the model includes random effects. Otherwise, the gls function might be useful. Both lme and gls are in the nlme library.
Best,
Renaud
Spencer Graves
Gregory BENMENZER wrote:
Dear all,
I'm looking for how can I estimate a linear model with ar(ma) errors :
y(t)=a*X(t)+e(t) with P(B)e(t)=Q(B)u(t)
where u is a white noise and P, Q are some polynomes.
Could you help me ?
Gr�gory Benmenzer
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