AR1 in gls function
On Fri, 15 Apr 2005, Prodromos Zanis wrote:
Dear R-project users I would like to calculate a linear trend versus time taking into account a first order autoregressive process of a single time series (e.g. data$S80 in the following example) using th gls function. gls(S80 ~ tt,data=data,corAR1(value, form, fixed)) My question is what number to set in the position of value within corAR1? Should it be the acf at lag 1?
The initial value for the AR(1) parameter. acf can mean autocovariance or autocorrelation: the value of the latter is a good starting point. However, unless you have very high correlation (or are fixing the parameter), value=0 will usually work.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595