ecmeml: ECME algorithm for maximum-likelihood (ML) estimation in...

Description Usage Arguments Details Value References See Also Examples

View source: R/lmm.R


Computes ML estimates of parameters in linear mixed models using the ECME procedure described by Schafer (1998). This algorithm may be slow, requiring a large number of cycles to converge. In most cases, "fastml" will perform better. This function is provided mainly for comparison against "fastml".

For a description of the model, see the "Details" section below.


ecmeml(y, subj, pred, xcol, zcol, vmax, occ, start, 
   maxits=1000, eps=0.0001)



vector of responses. This is simply the individual yi vectors stacked upon one another. Each element of y represents the observed response for a particular subject-occasion, or for a particular unit within a cluster.


vector of same length as y, giving the subject (or cluster) indicators i for the elements of y. For example, suppose that y is c(y1,y2,y3,y4) where length(y1)=2, length(y2)=3, length(y3)=2, and length(y4)=7. Then subj should be c(1,1,2,2,2,3,3,4,4,4,4,4,4,4).


matrix of covariates used to predict y. The number of rows should be length(y). The first column will typically be constant (one), and the remaining columns correspond to other variables appearing in Xi and Zi.


vector of integers indicating which columns of pred will be used in Xi. That is, pred[,xcol] is the Xi matrices (stacked upon one another.


vector of integers indicating which columns of pred will be used in Zi. That is, pred[,zcol] is the Zi matrices (stacked upon one another).


optional matrix of dimension c(max(occ),max(occ)) from which the Vi matrices will be extracted. In a longitudinal dataset, vmax would represent the Vi matrix for an individual with responses at all possible occasions 1,2,...,nmax=max(occ); for individuals with responses at only a subset of these occasions, the Vi will be obtained by extracting the rows and columns of vmax for those occasions. If no vmax is specified by the user, an identity matrix is used. In most applications of this model one will want to have Vi = identity, so most of the time this argument can be omitted.


vector of same length as y indicating the "occasions" for the elements of y. This argument is relevant only if a non-identity vmax is specified. In a longitudinal dataset where each individual is measured on at most nmax distinct occasions, each element of y corresponds to one subject-occasion, and the elements of occ should be coded as 1,2,...,nmax to indicate these occasion labels. (You should label the occasions as 1,2,...,nmax even if they are not equally spaced in time; the actual times of measurement will be incorporated into the matrix "pred".)


optional starting values of the parameters. If this argument is not given then the function chooses its own starting values. This argument should be a list of three elements named "beta", "psi", and "sigma2". Note that "beta" should be a vector of the same length as "xcol", "psi" should be a matrix of dimension c(length(zcol),length(zcol)), and "sigma2" should be a scalar.


maximum number of cycles to be performed. The algorithm runs to convergence or until "maxits" iterations, whichever comes first.


convergence criterion. The algorithm is considered to have converged if the relative differences in all parameters from one iteration to the next are less than eps–that is, if all(abs(new-old)<eps*abs(old)).


For details of the algorithm, see Section 3 of Schafer (1998).

The model, which is typically applied to longitudinal or clustered responses, is

yi = Xi%*%beta + Zi%*%bi + ei , i=1,...,m,


yi = (ni x 1) response vector for subject or cluster i; Xi = (ni x p) matrix of covariates; Zi = (ni x q) matrix of covariates; beta = (p x 1) vector of coefficients common to the population (fixed effects); bi = (q x 1) vector of coefficients specific to subject or cluster i (random effects); and ei = (ni x 1) vector of residual errors.

The vector bi is assumed to be normally distributed with mean zero and unstructured covariance matrix psi,

bi ~ N(0,psi) independently for i=1,...,m.

The residual vector ei is assumed to be

ei ~ N(0,sigma2*Vi)

where Vi is a known (ni x ni) matrix. In most applications, Vi is the identity matrix.


a list containing the following components.


vector of same length as "xcol" containing estimated fixed effects.


estimate of residual error variance.


matrix of dimension c(length(zcol),length(zcol)) containing estimated variances and covariances of the random effects.


T if the algorithm converged, F if it did not.


number of iterations actually performed. Will be equal to "maxits" if converged=F.


vector of length "iter" reporting the value of the loglikelihood at each iteration.


matrix of dimension c(length(xcol),length(xcol)) containing estimated variances and covariances for elements of "beta". These are conventional estimates which regard the variance parameters (sigma2 and psi) as fixed at their ML estimates.


a matrix with length(zcol) rows and m columns, where b.hat[,i] is an empirical Bayes estimate of bi.


an array of dimension length(zcol) by length(zcol) by m, where cov.b[,,i] is an empirical Bayes estimate of the covariance matrix associated with bi. These are conventional estimates which regard the variance parameters (sigma2 and psi) as fixed at their ML estimates. (An improved version which incorporates variance-parameter uncertainty is available from the function "fastrml".)


Schafer, J.L. (1998) Some improved procedures for linear mixed models. Submitted to Journal of the American Statistical Association.

See Also

ecmerml, fastml, fastrml, fastmode, mgibbs, fastmcmc, example


## Not run: 
For a detailed example, see the file "example.R" distributed
with this library.

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lmm documentation built on July 8, 2020, 6:28 p.m.