I have a nonlinear least squares problem, but the errors are correlated. I could use R's nls function to do the regression if the errors were independent, but I don't know the right way to handle correlated errors. Is there a standard procedure for this? Is it implemented somewhere?
How to perform nonlinear regression with correlated errors?
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regression
correlation
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0@MichaelHardy You can try GARCH or EGARCH – 2013-03-14