Re: [R] computation time gls()

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Tue 26 Jul 2005 - 01:48:46 EST

I find arima() fits such models very much faster.

On Mon, 25 Jul 2005, Sebastian Leuzinger wrote:

> dear R users
>
> i try to fit a gls model to a rather large dataset with an AR(1) error
> structure:
>
> attach(sf.a1filt)
> m1.a.gls <- gls(fluxt~co2+light+vpd+wind,
> correlation = corAR1(0.8))
> summary(m1.a.gls)
> detach(sf.a1filt)
>
> there are approx. 5000 observations, and the computation seems to take several
> hours, i actually killed the process because i became too impatient. is there
> any way to be more efficient with R? (because really the model will be more
> complex, i.e. more predictors and higher autoregressive order).

-- 
Brian D. Ripley,                  ripley@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

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Received on Tue Jul 26 01:57:37 2005

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