Second Term Improvement to Generalised Linear Mixed Model Asymptotics

MaRDI QIDQ6431552zbMATH OpenFDO

Authors Luca Maestrini, Aishwarya Bhaskaran, M. P. Wand

Publication date 31 March 2023

Abstract: A recent article on generalised linear mixed model asymptotics, Jiang et al. (2022), derived the rates of convergence for the asymptotic variances of maximum likelihood estimators. If $m$ denotes the number of groups and $n$ is the average within-group sample size then the asymptotic variances have orders $m^{-1}$ and $(mn{)}^{-1}$, depending on the parameter. We extend this theory to provide explicit forms of the $(mn{)}^{-1}$ second terms of the asymptotically harder-to-estimate parameters. Improved accuracy of studentised confidence intervals is one consequence of our theory.

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