Title | MOMENT-BASED METHOD FOR RANDOM EFFECTS SELECTION IN LINEAR MIXED MODELS. |
Publication Type | Journal Article |
Year of Publication | 2012 |
Authors | Ahn, Mihye, Hao Helen Zhang, and Wenbin Lu |
Journal | Stat Sin |
Volume | 22 |
Issue | 4 |
Pagination | 1539-1562 |
Date Published | 2012 Oct 01 |
ISSN | 1017-0405 |
Abstract | The selection of random effects in linear mixed models is an important yet challenging problem in practice. We propose a robust and unified framework for automatically selecting random effects and estimating covariance components in linear mixed models. A moment-based loss function is first constructed for estimating the covariance matrix of random effects. Two types of shrinkage penalties, a hard thresholding operator and a new sandwich-type soft-thresholding penalty, are then imposed for sparse estimation and random effects selection. Compared with existing approaches, the new procedure does not require any distributional assumption on the random effects and error terms. We establish the asymptotic properties of the resulting estimator in terms of its consistency in both random effects selection and variance component estimation. Optimization strategies are suggested to tackle the computational challenges involved in estimating the sparse variance-covariance matrix. Furthermore, we extend the procedure to incorporate the selection of fixed effects as well. Numerical results show promising performance of the new approach in selecting both random and fixed effects and, consequently, improving the efficiency of estimating model parameters. Finally, we apply the approach to a data set from the Amsterdam Growth and Health study. |
DOI | 10.5705/ss.2011.054 |
Alternate Journal | Stat Sin |
Original Publication | Moment-based method for random effects selection in linear mixed models. |
PubMed ID | 23105913 |
PubMed Central ID | PMC3480741 |
Grant List | P01 CA142538 / CA / NCI NIH HHS / United States R01 CA085848 / CA / NCI NIH HHS / United States R01 CA140632 / CA / NCI NIH HHS / United States |
MOMENT-BASED METHOD FOR RANDOM EFFECTS SELECTION IN LINEAR MIXED MODELS.
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