A note on the existence of the maximum likelihood estimate in variance components models

DOI10.7151/DMPS.1164MaRDI QIDQ5262812zbMATH OpenOpenAlexFDO

Authors Mariusz Grządziel, Andrzej Michalski

Publication date 16 July 2015

Published in Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.4787

zbMATH Keywords

maximum likelihoodlinear mixed modelvariance component

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05)

Abstract: In the paper, the problem of the existence of the maximum likelihood estimate and the REML estimate in the variance components model is considered. Errors in the proof of Theorem 3.1 in the article of Demidenko and Massam (Sankhy=a 61, 1999), giving a necessary and sufficient condition for the existence of the maximum likelihood estimate in this model, are pointed out and corrected. A new proof of Theorem 3.4 in the Demidenko and Massam's article, concerning the existence of the REML estimate of variance components, is presented.

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(4)

• Existence of maximum likelihood estimates in normal variance-components models
• On the existence of the maximum likelihood estimate in variance components models
• MM Algorithms for Variance Components Models
• A note on maximum likelihood estimation for covariance reducing models

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