A scalable and efficient covariate selection criterion for mixed effects regression models with unknown random effects structure
From MaRDI portal
Publication:1662050
Abstract: We propose a new model selection criterion for mixed effects regression models that is computable when the model is fitted with a two-step method, even when the structure and the distribution of the random effects are unknown. The criterion is especially useful in the early stage of the model building process when one needs to decide which covariates should be included in a mixed effects regression model but has no knowledge of the random effect structure. This is particularly relevant in substantive fields where variable selection is guided by information criteria rather than regularization. The calculation of the criterion requires only the evaluation of cluster-level log-likelihoods and does not rely on heavy numerical integration. We provide theoretical and numerical arguments to justify the method and we illustrate its usefulness by analyzing data on a socio-economic study of young American Indians.
Recommendations
- Selection strategy for covariance structure of random effects in linear mixed-effects models
- Generalized degrees of freedom and adaptive model selection in linear mixed-effects models
- Model selection in linear mixed effect models
- Moment-based method for random effects selection in linear mixed models
- New variable selection for linear mixed-effects models
Cites work
- scientific article; zbMATH DE number 5151848 (Why is no real title available?)
- scientific article; zbMATH DE number 4088698 (Why is no real title available?)
- A note on BIC in mixed-effects models
- A note on conditional AIC for linear mixed-effects models
- A note on conditional Akaike information for Poisson regression with random effects
- A pairwise likelihood approach to estimation in multilevel probit models
- A strongly consistent procedure for model selection in a regression problem
- A unifying approach to the estimation of the conditional Akaike information in generalized linear mixed models
- Asymptotic properties of criteria for selection of variables in multiple regression
- Conditional Akaike information for mixed-effects models
- Conditional Akaike information under generalized linear and proportional hazards mixed models
- Estimating the dimension of a model
- Fence methods for mixed model selection
- Fixed and Random Effects Selection in Mixed Effects Models
- Information based model selection criteria for generalized linear mixed models with unknown variance component parameters
- Linear and generalized linear mixed models and their applications.
- Linear mixed models for longitudinal data
- Model Selection and Multimodel Inference
- Model selection in linear mixed models
- On the behaviour of marginal and conditional AIC in linear mixed models
- Pseudo-likelihood methodology for partitioned large and complex samples
- Regression and time series model selection in small samples
- Statistical predictor identification
- Unifying the derivations for the Akaike and corrected Akaike information criteria.
- Variable selection in linear mixed effects models
Cited in
(4)- Consistent Fixed-Effects Selection in Ultra-high dimensional Linear Mixed Models with Error-Covariate Endogeneity
- Selection strategy for covariance structure of random effects in linear mixed-effects models
- Focused model selection for linear mixed models with an application to whale ecology
- The effective sample size in Bayesian information criterion for level-specific fixed and random-effect selection in a two-level nested model
This page was built for publication: A scalable and efficient covariate selection criterion for mixed effects regression models with unknown random effects structure
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1662050)
