[R] ARMA random effects?

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Tue, 10 Jun 2008 19:47:29 -0700


Hi, All:

      Is there a way to get random effects for ARMA parameters? Consider the following example from the 'corARMA' help page:

fm1Ovar.lme <- lme(follicles ~ sin(2*pi*Time) + cos(2*pi*Time),

                        data = Ovary, random = pdDiag(~sin(2*pi*Time)))
fm5Ovar.lme <- update(fm1Ovar.lme,
                     corr = corARMA(p = 1, q = 1))
fm5Ovar.lme

Linear mixed-effects model fit by REML
  Data: Ovary
  Log-restricted-likelihood: -771.9471
  Fixed: follicles ~ sin(2 * pi * Time) + cos(2 * pi * Time)

       (Intercept) sin(2 * pi * Time) cos(2 * pi * Time)
        12.1248728         -2.9198264         -0.8487095

Random effects:
 Formula: ~sin(2 * pi * Time) | Mare
 Structure: Diagonal

        (Intercept) sin(2 * pi * Time) Residual
StdDev:    2.614435           1.004898 3.733423

Correlation Structure: ARMA(1,1)
 Formula: ~1 | Mare
 Parameter estimate(s):

      Phi1 Theta1
 0.7868896 -0.2793591
Number of Observations: 308
Number of Groups: 11

> coef(fm5Ovar.lme)

   (Intercept) sin(2 * pi * Time) cos(2 * pi * Time) 4 8.681454 -2.719864 -0.8487095 <snip>

      Evidently, this model estimates only one set of ARMA parameters. Is there a way I can get a different set for each Mare in this example?

      Thanks,
      Spencer Graves

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