[R] covariate data errors

[Duncan Mackay]

Hello,
I'm not qualified to judge about definitiveness, but you may find the
discussion of "Time Series Regression and Generalized Least Squares" in
Chapter 14 of "Applied Regression Analysis, Linear Models, and Related
Models" by John Fox (1997, Sage Publications) helpful. He also has an
accompanying package "car" on the CRAN R site.
Duncan

*****************************************
Dr. Duncan Mackay
School of Biological Sciences
Flinders University
GPO Box 2100
Adelaide
S.A.    5001
AUSTRALIA

Ph (08) 8201 2627    FAX (08) 8201 3015

http://www.scieng.flinders.edu.au/biology/people/mackay_d/index.html


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of Andy Jacobson
Sent: Friday, 13 June 2003 1:10 PM
To: r-help at stat.math.ethz.ch
Subject: [R] covariate data errors


Greetings,

	I would like to fit a multiple linear regression model in
which the residuals are expected to follow a multivariate normal
distribution, using weighted least squares.  I know that the data in
question have biases that would result in correlated residuals, and I
have a means for quantifying those biases as a covariance matrix. I
cannot, unfortunately, correct the data for these biases.

	It seems that this should be a straightforward task, but so
much of the literature is concerned with the probability model in
which the residuals are uncorrelated that I can't find a good
reference.  So in order of importance, please, can someone point me to
a definitive reference for least squares with correlated residuals,
and is there a standard R package to handle this case?

	Many thanks in advance,

	Anthony

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