Does a generalized least squares model require normal distribution?

19 June 2020 1 4K Report

I've got myself into a bit of a mess with some analysis.

I have conducted an Interrupted Time Series analysis using GLS, but wanted to check whether or not such assumed a normal distribution?

The AIC values for my gls models are better than any glm equivalent, but I'm not sure how to interpret such?

Any advice would be appreciated

David Eugene Booth

No but it assumes some distribution so Google what you did to find out which. I suggest you look at Journal of Data Science11(2013), 575-606, which may be of some interest to you as an alternative approach your problem. Best Wishes, David Booth

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