Model selection in linear mixed models

DOI10.1214/12-STS410MaRDI QIDQ252741zbMATHFDO

Authors Samuel Müller, J. L. Scealy, Alan H. Welsh

Publication date 4 March 2016

Published in Statistical Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.2427

zbMATH Keywords

model selectionBICAICBayes factorinformation criterialinear mixed modelCholesky decompositionfenceLASSOshrinkage methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Abstract: Linear mixed effects models are highly flexible in handling a broad range of data types and are therefore widely used in applications. A key part in the analysis of data is model selection, which often aims to choose a parsimonious model with other desirable properties from a possibly very large set of candidate statistical models. Over the last 5-10 years the literature on model selection in linear mixed models has grown extremely rapidly. The problem is much more complicated than in linear regression because selection on the covariance structure is not straightforward due to computational issues and boundary problems arising from positive semidefinite constraints on covariance matrices. To obtain a better understanding of the available methods, their properties and the relationships between them, we review a large body of literature on linear mixed model selection. We arrange, implement, discuss and compare model selection methods based on four major approaches: information criteria such as AIC or BIC, shrinkage methods based on penalized loss functions such as LASSO, the Fence procedure and Bayesian techniques.

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