Hello R-users, I am using gls function in R to fit a model with certain correlation structure.
The medol as: fit.a<-gls(y~1,data=test.data,correlation=corAR1(form=~1|aa),method="ML") mu<-summary(fit.a)$coefficient With the toy data I made to test, the estimate of mu is exactly equal to the overall mean of y which can not be true. But, if I make a toy data with y more than two replicates (for each level of aa we have more than 2 abservations, for example N=4), the estimates of mu will not be as the same as the overall mean of y. Would you please tell me why this happens? The following is my testing code. Thanks. James require(mvtnorm) rho=-0.5 N=2 sigma.a=2 Rho.a<-matrix(c(1,rho^(1:(N-1)))[outer(X=1:N,Y=1:N,function(x,y) 1+abs(x-y))],ncol=N) Sigma.a<-sigma.a^2 * Rho/(1-rho.a^2) y<-rep(0,N*20) for (ii in 1:20) {y[((ii-1)*N+1):(ii*N)]<-rmvnorm(1, mean=rep(0,N), sigma=Sigma.a) } test.data<-data.frame(y=y,aa=rep(1:20,each=N,len=N*20)) fit.a<-gls(y~1,data=test.data,correlation=corAR1(form=~1|aa),method="ML") mu.a<-summary(fit.a)$coefficient rho.a<-getVarCov(fit.a)[1,2]/getVarCov(fit.a)[1,1] print(c(mean(y),mu.a)) ______________________________________________________ Zhenqiang (James) Lu Department of Statistics Purdue University West Lafayette, IN 47906 TEL: (765) 494-0027 FAX: (765) 494-0558 ______________________________________________ R-help@stat.math.ethz.ch 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.