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A likelihood reformulation method in non‐normal random effects models
Author(s) -
Liu Lei,
Yu Zhangsheng
Publication year - 2007
Publication title -
statistics in medicine
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.996
H-Index - 183
eISSN - 1097-0258
pISSN - 0277-6715
DOI - 10.1002/sim.3153
Subject(s) - copula (linguistics) , mathematics , random effects model , transformation (genetics) , multivariate random variable , computer science , gaussian , algorithm , random variable , statistics , econometrics , medicine , biochemistry , meta analysis , chemistry , gene , physics , quantum mechanics
In this paper, we propose a practical computational method to obtain the maximum likelihood estimates (MLE) for mixed models with non‐normal random effects. By simply multiplying and dividing a standard normal density, we reformulate the likelihood conditional on the non‐normal random effects to that conditional on the normal random effects. Gaussian quadrature technique, conveniently implemented in SAS Proc NLMIXED, can then be used to carry out the estimation process. Our method substantially reduces computational time, while yielding similar estimates to the probability integral transformation method ( J. Comput. Graphical Stat. 2006; 15 :39–57). Furthermore, our method can be applied to more general situations, e.g. finite mixture random effects or correlated random effects from Clayton copula. Simulations and applications are presented to illustrate our method. Copyright © 2007 John Wiley & Sons, Ltd.