Selection Strategy for Covariance Structure of Random Effects in Linear Mixed‐effects Models |
| |
Authors: | Xinyu Zhang Hua Liang Anna Liu David Ruppert Guohua Zou |
| |
Institution: | 1. Chinese Academy of Sciences;2. George Washington University;3. University of Massachusetts;4. Cornell University;5. Chinese Academy of Sciences and Capital Normal University |
| |
Abstract: | Linear mixed‐effects models are a powerful tool for modelling longitudinal data and are widely used in practice. For a given set of covariates in a linear mixed‐effects model, selecting the covariance structure of random effects is an important problem. In this paper, we develop a joint likelihood‐based selection criterion. Our criterion is the approximately unbiased estimator of the expected Kullback–Leibler information. This criterion is also asymptotically optimal in the sense that for large samples, estimates based on the covariance matrix selected by the criterion minimize the approximate Kullback–Leibler information. Finite sample performance of the proposed method is assessed by simulation experiments. As an illustration, the criterion is applied to a data set from an AIDS clinical trial. |
| |
Keywords: | asymptotic optimality covariance structure Kullback– Leibler information longitudinal data |
|