Irregular Time Series Issue

Have you considered using 'corCAR1' with 'lme' in the 'nlme' 
package? 

      Hope this helps. 
      Spencer Graves
p.s.  If you are not familiar with this, I highly recommend Pinheiro, 
J.C., and Bates, D.M. (2000) Mixed-Effects Models in S and S-PLUS 
(Springer).  The "~R\library\nlme\scripts" directory contains "ch01.R", 
"ch02.R", etc., which contain R scripts to reproduce virtually all the 
examples in the text.  These are especially valuable for R, because the 
book was written before 'nlme' was ported to R, and there are a few 
changes for which the version in the book gives the wrong answer, while 
following the script gives the correct answer.

Hello,
           I have an irregular time series of the form :

Time Data Time1 Data1 ....
1       b        1         e
7      g         4        i
NA  NA       5         k
NA  NA      NA      NA ...

(the columns have varying length of NAs after a certain point)
Converting this to regular time series with Pastecs does not seem to
work, when I see the
entire data as a single series. So I remove the NAs and deal with one
series at a time in a loop.

Any suggestions ?


Thanks

A. Mani