Fast computing of some generalized linear mixed pseudo-models with temporal autocorrelation (Q626250)

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Fast computing of some generalized linear mixed pseudo-models with temporal autocorrelation
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    Fast computing of some generalized linear mixed pseudo-models with temporal autocorrelation (English)
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    22 February 2011
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    Generalized linear regression models with mixed effects are considered. Iterative algorithms are discussed for maximum pseudo-log-likelihood estimation of the parameters. It is proposed to use the Sherman-Morrison-Woodbury matrix identity, the analytical inverse of exponential matrices, and sparse matrix operations to increase the computational speed of these algorithms. Implementation in R software is considered. An example is presented where a generalized linear model is fitted to a binary time series with over 150 000 observations, 50 random effects and over 100 fixed effects.
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    generalized linear regression models
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    mixed effects
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    pseudo likelihood
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