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. A Mani wrote: > 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 > > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.