Flexible linear mixed models with improper priors for longitudinal and survival data

DOI10.1214/18-EJS1401zbMATH Open1473.62094arXiv1609.05684MaRDI QIDQ1746532FDOQ1746532

Authors: F. J. Rubio, M. F. J. Steel 

Publication date: 25 April 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We propose a Bayesian approach using improper priors for hierarchical linear mixed models with flexible random effects and residual error distributions. The error distribution is modelled using scale mixtures of normals, which can capture tails heavier than those of the normal distribution. This generalisation is useful to produce models that are robust to the presence of outliers. The case of asymmetric residual errors is also studied. We present general results for the propriety of the posterior that also cover cases with censored observations, allowing for the use of these models in the contexts of popular longitudinal and survival analyses. We consider the use of copulas with flexible marginals for modelling the dependence between the random effects, but our results cover the use of any random effects distribution. Thus, our paper provides a formal justification for Bayesian inference in a very wide class of models (covering virtually all of the literature) under attractive prior structures that limit the amount of required user elicitation.

Full work available at URL: https://arxiv.org/abs/1609.05684

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zbMATH Keywords

Bayesian inferenceheavy tailsskewnessstochastic frontier modelsposterior proprietyMEAFT models

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Censored data models (62N01)

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Cited In (9)

• Fitting mixed models to messy longitudinal data: a case study involving estimation of post mortem intervals
• Bayesian Longitudinal Data Analysis with Mixed Models and Thick-tailed Distributions using MCMC
• Bayesian Multivariate Distributional Regression With Skewed Responses and Skewed Random Effects
• A tractable Bayesian joint model for longitudinal and survival data
• On the propriety of the posterior of hierarchical linear mixed models with flexible random effects distributions
• Posterior impropriety of some sparse Bayesian learning models
• On distance-type Gaussian estimation
• Shrinkage estimation of fixed and random effects in linear quantile mixed models
• On a class of objective priors from scoring rules (with discussion)

Uses Software

• spBayes
• lmec
• bayesSurv

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