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9780470073711

Generalized, Linear, and Mixed Models

by ; ;
  • ISBN13:

    9780470073711

  • ISBN10:

    0470073713

  • Edition: 2nd
  • Format: Hardcover
  • Copyright: 2008-06-30
  • Publisher: Wiley-Interscience
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Summary

An accessible and self-contained introduction to statistical models-now in a modernized new edition Generalized, Linear, and Mixed Models, Second Edition provides an up-to-date treatment of the essential techniques for developing and applying a wide variety of statistical models. The book presents thorough and unified coverage of the theory behind generalized, linear, and mixed models and highlights their similarities and differences in various construction, application, and computational aspects. A clear introduction to the basic ideas of fixed effects models, random effects models, and mixed models is maintained throughout, and each chapter illustrates how these models are applicable in a wide array of contexts. In addition, a discussion of general methods for the analysis of such models is presented with an emphasis on the method of maximum likelihood for the estimation of parameters. The authors also provide comprehensive coverage of the latest statistical models for correlated, non-normally distributed data. Thoroughly updated to reflect the latest developments in the field, the Second Edition features: A new chapter that covers omitted covariates, incorrect random effects distribution, correlation of covariates and random effects, and robust variance estimation A new chapter that treats shared random effects models, latent class models, and properties of models A revised chapter on longitudinal data, which now includes a discussion of generalized linear models, modern advances in longitudinal data analysis, and the use between and within covariate decompositions Expanded coverage of marginal versus conditional models Numerous new and updated examples With its accessible style and wealth of illustrative exercises, Generalized, Linear, and Mixed Models, Second Edition is an ideal book for courses on generalized linear and mixed models at the upper-undergraduate and beginning-graduate levels. It also serves as a valuable reference for applied statisticians, industrial practitioners, and researchers.

Author Biography

Charles E. McCulloch, PhD, is Professor and Head of the Division of Biostatistics in the School of Medicine at the University of California, San Francisco. A Fellow of the American Statistical Association, Dr. McCulloch is the author of numerous published articles in the areas of longitudinal data analysis, generalized linear mixed models, and latent class models and their applications.

Shayle R. Searle, PhD, is Professor Emeritus in the Department of Biological Statistics and Computational Biology at Cornell University. Dr. Searle is the author of Linear Models, Linear Models for Unbalanced Data, Matrix Algebra Useful for Statistics, and Variance Components, all published by Wiley.

John M. Neuhaus, PhD, is Professor of Biostatistics in the School of Medicine at the University of California, San Francisco. A Fellow of the American Statistical Association and the Royal Statistical Society, Dr. Neuhaus has authored or coauthored numerous journal articles on statistical methods for analyzing correlated response data and assessments on the effects of statistical model misspecification.

Table of Contents

Prefacep. xxi
Preface to the First Editionp. xxiii
Introductionp. 1
Modelsp. 1
Linear models (LM) and linear mixed models (LMM)p. 1
Generalized models (GLMs and GLMMs)p. 2
Factors, Levels, Cells, Effects and Datap. 2
Fixed Effects Modelsp. 5
Example 1: Placebo and a drugp. 6
Example 2: Comprehension of humorp. 7
Example 3: Four dose levels of a drugp. 8
Random Effects Modelsp. 8
Example 4: Clinicsp. 8
Notationp. 9
Example 5: Ball bearings and calipersp. 12
Linear Mixed Models (LMMs)p. 13
Example 6: Medications and clinicsp. 13
Example 7: Drying methods and fabricsp. 13
Example 8: Potomac River Feverp. 14
Regression modelsp. 14
Longitudinal datap. 14
Example 9: Osteoarthritis Initiativep. 16
Model equationsp. 16
Fixed or Random?p. 16
Example 10: Clinical trialsp. 17
Making a decisionp. 17
Inferencep. 19
Estimationp. 20
Testingp. 24
Predictionp. 25
Computer Softwarep. 25
Exercisesp. 26
One-Way Classificationsp. 28
Normality and Fixed Effectsp. 29
Modelp. 29
Estimation by MLp. 29
Generalized likelihood ratio testp. 31
Confidence intervalsp. 32
Hypothesis testsp. 34
Normality, Random Effects and MLEp. 34
Modelp. 34
Balanced datap. 37
Unbalanced datap. 42
Biasp. 44
Sampling variancesp. 44
Normality, Random Effects and Remlp. 45
Balanced datap. 45
Unbalanced datap. 48
More on Random Effects and Normalityp. 48
Tests and confidence intervalsp. 48
Predicting random effectsp. 49
Binary Data: Fixed Effectsp. 51
Model equationp. 51
Likelihoodp. 51
ML equations and their solutionsp. 52
Likelihood ratio testp. 52
The usual chi-square testp. 52
Large-sample tests and confidence intervalsp. 54
Exact tests and confidence intervalsp. 55
Example: Snake strike datap. 56
Binary Data: Random Effectsp. 57
Model equationp. 57
Beta-binomial modelp. 57
Logit-normal modelp. 64
Probit-normal modelp. 68
Computingp. 68
Exercisesp. 68
Single-Predictor Regressionp. 72
Introductionp. 72
Normality: Simple Linear Regressionp. 73
Modelp. 73
Likelihoodp. 74
Maximum likelihood estimatorsp. 74
Distributions of MLEsp. 75
Tests and confidence intervalsp. 76
Illustrationp. 76
Normality: A Nonlinear Modelp. 77
Modelp. 77
Likelihoodp. 77
Maximum likelihood estimatorsp. 78
Distributions of MLEsp. 79
Transforming Versus Linkingp. 80
Transformingp. 80
Linkingp. 80
Comparisonsp. 80
Random Intercepts: Balanced Datap. 81
The modelp. 81
Estimating [mu] and [beta]p. 83
Estimating variancesp. 86
Tests of hypotheses - using LRTp. 89
Illustrationp. 92
Predicting the random interceptsp. 93
Random Intercepts: Unbalanced Datap. 95
The modelp. 97
Estimating [mu] and [beta] when variances are knownp. 98
Bernoulli - Logistic Regressionp. 101
Logistic regression modelp. 102
Likelihoodp. 104
ML equationsp. 104
Large-sample tests and confidence intervalsp. 107
Bernoulli - Logistic with Random Interceptsp. 108
Modelp. 108
Likelihoodp. 109
Large-sample tests and confidence intervalsp. 110
Predictionp. 110
Conditional Inferencep. 111
Exercisesp. 112
Linear Models (LMs)p. 114
A General Modelp. 115
A Linear Model for Fixed Effectsp. 116
Mle Under Normalityp. 117
Sufficient Statisticsp. 118
Many Apparent Estimatorsp. 119
General resultp. 119
Mean and variancep. 120
Invariance propertiesp. 120
Distributionsp. 121
Estimable Functionsp. 121
Introductionp. 121
Definitionp. 122
Propertiesp. 122
Estimationp. 123
A Numerical Examplep. 123
Estimating Residual Variancep. 125
Estimationp. 125
Distribution of estimatorsp. 126
The One- and Two-Way Classificationsp. 127
The one-way classificationp. 127
The two-way classificationp. 128
Testing Linear Hypothesesp. 129
Likelihood ratio testp. 130
Wald testp. 131
t-Tests and Confidence Intervalsp. 131
Unique Estimation Using Restrictionsp. 132
Exercisesp. 134
Generalized Linear Models (GLMs)p. 136
Introductionp. 136
Structure of the Modelp. 138
Distribution of yp. 138
Link functionp. 139
Predictorsp. 139
Linear modelsp. 140
Transforming Versus Linkingp. 140
Estimation by Maximum Likelihoodp. 140
Likelihoodp. 140
Some useful identitiesp. 141
Likelihood equationsp. 142
Large-sample variancesp. 144
Solving the ML equationsp. 144
Example: Potato flour dilutionsp. 145
Tests of Hypothesesp. 148
Likelihood ratio testsp. 148
Wald testsp. 149
Illustration of testsp. 150
Confidence intervalsp. 151
Illustration of confidence intervalsp. 151
Maximum Quasi-Likelihoodp. 152
Introductionp. 152
Definitionp. 152
Exercisesp. 156
Linear Mixed Models (LMMs)p. 157
A General Modelp. 157
Introductionp. 157
Basic propertiesp. 158
Attributing Structure to Var(y)p. 159
Examplep. 159
Taking covariances between factors as zerop. 159
The traditional variance components modelp. 161
An LMM for longitudinal datap. 163
Estimating Fixed Effects for V Knownp. 163
Estimating Fixed Effects for V Unknownp. 165
Estimationp. 165
Sampling variancep. 165
Bias in the variancep. 167
Approximate F-statisticsp. 168
Predicting Random Effects for V Knownp. 169
Predicting Random Effects for V Unknownp. 171
Estimationp. 171
Sampling variancep. 171
Bias in the variancep. 172
Anova Estimation of Variance Componentsp. 172
Balanced datap. 173
Unbalanced datap. 174
Maximum Likelihood (ML) Estimationp. 174
Estimatorsp. 174
Information matrixp. 176
Asymptotic sampling variancesp. 176
Restricted Maximum Likelihood (REML)p. 177
Estimationp. 177
Sampling variancesp. 178
Notes and Extensionsp. 178
ML or REML?p. 178
Other methods for estimating variancesp. 179
Appendix for Chapter 6p. 179
Differentiating a log likelihoodp. 179
Differentiating a generalized inversep. 182
Differentiation for the variance components modelp. 183
Exercisesp. 185
Generalized Linear Mixed Modelsp. 188
Introductionp. 188
Structure of the Modelp. 189
Conditional distribution of yp. 189
Consequences of Having Random Effectsp. 190
Marginal versus conditional distributionp. 190
Mean of yp. 190
Variancesp. 191
Covariances and correlationsp. 192
Estimation by Maximum Likelihoodp. 193
Likelihoodp. 193
Likelihood equationsp. 195
Other Methods of Estimationp. 196
Penalized quasi-likelihoodp. 196
Conditional likelihoodp. 198
Simpler modelsp. 203
Tests of Hypothesesp. 204
Likelihood ratio testsp. 204
Asymptotic variancesp. 204
Wald testsp. 204
Score testsp. 205
Illustration: Chestnut Leaf Blightp. 205
A random effects probit modelp. 206
Exercisesp. 210
Models for Longitudinal Datap. 212
Introductionp. 212
A Model for Balanced Datap. 213
Prescriptionp. 213
Estimating the meanp. 213
Estimating V[subscript 0]p. 214
A Mixed Model Approachp. 215
Fixed and random effectsp. 215
Variancesp. 215
Random Intercept and Slope Modelsp. 216
Variancesp. 217
Within-subject correlationsp. 217
Predicting Random Effectsp. 219
Uncorrelated subjectsp. 219
Uncorrelated between, and within, subjectsp. 220
Uncorrelated between, and autocorrelated withinp. 220
Random intercepts and slopesp. 221
Estimating Parametersp. 221
The general casep. 221
Uncorrelated subjectsp. 222
Uncorrelated between, and autocorrelated within, subjectsp. 223
Unbalanced Datap. 225
Example and modelp. 225
Uncorrelated subjectsp. 227
Models for Non-Normal Responsesp. 228
Covariances and correlationsp. 229
Estimationp. 229
Prediction of random effectsp. 229
Binary responses, random intercepts and slopesp. 231
A Summary of Resultsp. 231
Balanced datap. 232
Unbalanced datap. 233
Appendixp. 233
For Section 8.4ap. 233
For Section 8.4bp. 234
Exercisesp. 234
Marginal Modelsp. 236
Introductionp. 236
Examples of Marginal Regression Modelsp. 238
Generalized Estimating Equationsp. 239
Models with marginal and conditional interpretationsp. 244
Contrasting Marginal and Conditional Modelsp. 246
Exercisesp. 247
Multivariate Modelsp. 249
Introductionp. 249
Multivariate Normal Outcomesp. 250
Non-Normally Distributed Outcomesp. 252
A multivariate binary modelp. 252
A binary/normal examplep. 253
A Poisson/Normal Examplep. 257
Correlated Random Effectsp. 260
Likelihood-Based Analysisp. 261
Example: Osteoarthritis Initiativep. 263
Notes and Extensionsp. 264
Missing datap. 264
Efficiencyp. 265
Exercisesp. 265
Nonlinear Modelsp. 266
Introductionp. 266
Example: Corn Photosynthesisp. 266
Pharmacokinetic Modelsp. 269
Computations for Nonlinear Mixed Modelsp. 270
Exercisesp. 270
Departures from Assumptionsp. 271
Introductionp. 271
Incorrect Model for Responsep. 272
Omitted covariatesp. 272
Misspecified link functionsp. 275
Misclassified binary outcomesp. 276
Informative cluster sizesp. 278
Incorrect Random Effects Distributionp. 281
Incorrect distributional familyp. 282
Correlation of covariates and random effectsp. 290
Covariate-dependent random effects variancep. 293
Diagnosing Misspecificationp. 295
Conditional likelihood methodsp. 295
Between/within cluster covariate decompositionsp. 297
Specification testsp. 298
Nonparametric maximum likelihoodp. 299
A Summary of Resultsp. 300
Exercisesp. 301
Predictionp. 303
Introductionp. 303
Best Prediction (BP)p. 304
The best predictorp. 304
Mean and variance propertiesp. 305
A correlation propertyp. 305
Maximizing a meanp. 305
Normalityp. 306
Best Linear Prediction (BLP)p. 306
BLP(u)p. 306
Examplep. 307
Derivationp. 308
Rankingp. 309
Linear Mixed Model Prediction (BLUP)p. 310
BLUE(X[beta])p. 310
BLUP(t'X[beta] + s'u)p. 311
Two variancesp. 312
Other derivationsp. 312
Required Assumptionsp. 313
Estimated Best Predictionp. 313
Henderson's Mixed Model Equationsp. 314
Originp. 314
Solutionsp. 315
Use in ML estimation of variance componentsp. 316
Appendixp. 317
Verification of (13.5)p. 317
Verification of (13.7) and (13.8)p. 318
Exercisesp. 318
Computingp. 320
Introductionp. 320
Computing ML Estimates for LMMsp. 320
The EM algorithmp. 320
Using E[u y]p. 323
Newton-Raphson methodp. 324
Computing ML Estimates for GLMMsp. 326
Numerical quadraturep. 326
EM algorithmp. 331
Markov chain Monte Carlo algorithmsp. 333
Stochastic approximation algorithmsp. 336
Simulated maximum likelihoodp. 337
Penalized Quasi-Likelihood and Laplacep. 338
Iterative Bootstrap Bias Correctionp. 342
Exercisesp. 342
Some Matrix Resultsp. 344
Vectors and Matrices of Onesp. 344
Kronecker (or Direct) Productsp. 345
A Matrix Notation in Terms of Elementsp. 346
Generalized Inversesp. 346
Definitionp. 346
Generalized inverses of X'Xp. 347
Two results involving X(X'V[superscript -1]X)[superscript -]X'V[superscript -1]p. 348
Solving linear equationsp. 349
Rank resultsp. 349
Vectors orthogonal to columns of Xp. 349
A theorem for K' with K'X being nullp. 350
Differential Calculusp. 350
Definitionp. 350
Scalarsp. 350
Vectorsp. 351
Inner productsp. 351
Quadratic formsp. 351
Inverse matricesp. 351
Determinantsp. 352
Some Statistical Resultsp. 353
Momentsp. 353
Conditional momentsp. 353
Mean of a quadratic formp. 354
Moment generating functionp. 354
Normal Distributionsp. 355
Univariatep. 355
Multivariatep. 355
Quadratic forms in normal variablesp. 356
Exponential Familiesp. 357
Maximum Likelihoodp. 357
The likelihood functionp. 357
Maximum likelihood estimationp. 358
Asymptotic variance-covariance matrixp. 358
Asymptotic distribution of MLEsp. 359
Likelihood Ratio Testsp. 359
MLE Under Normalityp. 360
Estimation of [beta]p. 360
Estimation of variance componentsp. 361
Asymptotic variance-covariance matrixp. 361
Restricted maximum likelihood (REML)p. 362
Referencesp. 364
Indexp. 378
Table of Contents provided by Ingram. All Rights Reserved.

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