mmleFHP: Marginal MLEs for the Fay-Herriot model with known covariance

In FABInference: FAB p-Values and Confidence Intervals

Description

Marginal MLEs for the Fay-Herriot random effects model where the covariance matrix for the sampling model is known

Usage

mmleFHP(y, X, Sigma)

Arguments

y	direct data following normal model y\sim N(θ,Σ)
X	linking model predictors θ\sim N(Xβ,τ^2 I)
Sigma	covariance matrix in sampling model

Value

a list of parameter estimates including

1. beta, the estimated regression coefficients

2. t2, the estimate of τ^2

Author(s)

Peter Hoff

Examples

n<-30 ; p<-3 
X<-matrix(rnorm(n*p),n,p)  
beta<-rnorm(p) 
theta<-X%*%beta + rnorm(n)  
Sigma<-diag(n) 
y<-theta+rnorm(n) 
mmleFHP(y,X,Sigma) 

FABInference documentation built on Jan. 9, 2020, 5:08 p.m.