We present a model for multivariate repeated measures that incorporate
s random effects, correlated stochastic processes, and measurement err
ors. The model is a multivariate generalization of the model for univa
riate longitudinal data given by Taylor, Cumberland, and Sy (1994, Jou
rnal of the American Statistical Association 89, 727-736). The stochas
tic process used in this paper is the multivariate integrated Ornstein
-Uhlenbeck (OU) process, which includes Brownian motion and a random e
ffects model as special limiting cases. This process is an underlying
continuous-time autoregressive order [AR(1)] process for the derivativ
es of the multivariate observations. The model allows unequally spaced
observations and missing values for some of the variables. We analyze
CD4 T-cell and beta-2-microglobulin measurements of the seroconverter
s at multiple time points from the Los Angeles section of the Multicen
ter AIDS Cohort Study. The model allows us to investigate the relation
ship between CD4 and beta-2-microglobulin through the correlations bet
ween their random effects and their serial correlation. The data sugge
st that CD4 and beta-2-microglobulin follow a bivariate Brownian motio
n process. The fit of the model implies that an increase in beta-2-mic
roglobulin is associated with a decrease in future CD4 but not vice ve
rsa, agreeing with immunologic postulates about the relationship betwe
en these two variables.