kr-vcovAdj | R Documentation |
Kenward and Roger (1997) describe an improved small sample approximation to the covariance matrix estimate of the fixed parameters in a linear mixed model.
vcovAdj(object, details = 0)
## S3 method for class 'lmerMod'
vcovAdj(object, details = 0)
object |
An |
details |
If larger than 0 some timing details are printed. |
phiA |
the estimated covariance matrix, this has attributed P, a
list of matrices used in |
SigmaG |
list: Sigma: the covariance matrix of Y; G: the G matrices that
sum up to Sigma; |
If $N$ is the number of observations, then the vcovAdj()
function involves inversion of an $N x N$ matrix, so the computations can
be relatively slow.
Ulrich Halekoh uhalekoh@health.sdu.dk, Søren Højsgaard sorenh@math.aau.dk
Ulrich Halekoh, Søren Højsgaard (2014)., A Kenward-Roger Approximation and Parametric Bootstrap Methods for Tests in Linear Mixed Models - The R Package pbkrtest., Journal of Statistical Software, 58(10), 1-30., https://www.jstatsoft.org/v59/i09/
Kenward, M. G. and Roger, J. H. (1997), Small Sample Inference for Fixed Effects from Restricted Maximum Likelihood, Biometrics 53: 983-997.
getKR
, KRmodcomp
, lmer
,
PBmodcomp
, vcovAdj
fm1 <- lmer(Reaction ~ Days + (Days|Subject), sleepstudy, REML=TRUE)
class(fm1)
set.seed(123)
sleepstudy2 <- sleepstudy[sample(nrow(sleepstudy), size=120), ]
fm2 <- lmer(Reaction ~ Days + (Days|Subject), sleepstudy2, REML=TRUE)
## Here the adjusted and unadjusted covariance matrices are identical,
## but that is not generally the case:
v1 <- vcov(fm1)
v1a <- vcovAdj(fm1, details=0)
v1a / v1
v2 <- vcov(fm2)
v2a <- vcovAdj(fm2, details=0)
v2a / v2
# For comparison, an alternative estimate of the
# variance-covariance matrix is based on parametric bootstrap (and
# this is easily parallelized):
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