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Linear mixed models and penalized least squares. (English) Zbl 1051.62063

Summary: Linear mixed-effects models are an important class of statistical models that are used directly in many fields of applications and also are used as iterative steps in fitting other types of mixed-effects models, such as generalized linear mixed models. The parameters in these models are typically estimated by maximum likelihood or restricted maximum likelihood. In general, there is no closed-form solution for these estimates and they must be determined by iterative algorithms such as EM iterations or general nonlinear optimization.
Many of the intermediate calculations for such iterations have been expressed as generalized least squares problems. We show that an alternative representation as a penalized least squares problem has many advantages, the computational properties including the ability to evaluate explicitly a profiled log-likelihood or log-restricted likelihood, the gradient and Hessian of this profiled objective, and an ECME update to refine this objective.

MSC:

62J10 Analysis of variance and covariance (ANOVA)
62H12 Estimation in multivariate analysis
62J12 Generalized linear models (logistic models)
65C60 Computational problems in statistics (MSC2010)

Software:

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References:

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