Dear R users,
As far as I know, EM algorithm can be only applied to estimate parameter from a
regular exponential family.
A multivariate normal distribution with an AR(1) matrix as covariance matrix
does not belong to a regular exponential family, it is belong to a curved
exponential family, so EM algorithm can not be applied to estimate parameters
for this kind of distribution.
I have used nle function from nlme package to estimate variance components with
correlation=corAr1, this function uses first EM algorithm to refine the initial
estimates of the random effects variance-covariance coefficients and uses them
into a Newton-Raphson algorithm.
Do anyone know what kind of modification of the EM algorithm use lme function
to solve the problem mentioned below?
Thank you in advance for your help
Francisco
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