Fixed and Random Effects Selection by REML and Pathwise Coordinate Optimization |
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Authors: | Bingqing Lin Zhen Pang Jiming Jiang |
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Affiliation: | 1. Division of Mathematical Sciences, School of Physical and Mathematical Sciences , Nanyang Technological University , Singapore , 637371;2. Department of Statistics , University of California , Davis , CA , 85616 |
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Abstract: | We propose a two-stage model selection procedure for the linear mixed-effects models. The procedure consists of two steps: First, penalized restricted log-likelihood is used to select the random effects, and this is done by adopting a Newton-type algorithm. Next, the penalized log-likelihood is used to select the fixed effects via pathwise coordinate optimization to improve the computation efficiency. We prove that our procedure has the oracle properties. Both simulation studies and a real data example are carried out to examine finite sample performance of the proposed fixed and random effects selection procedure. Supplementary materials including R code used in this article and proofs for the theorems are available online. |
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Keywords: | BIC LASSO Mixed-effects models |
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