Abstract
In this paper, we provide the ML (Maximum Likelihood) and the REML (REstricted ML) criteria for consistently estimating multivariate linear mixed-effects models with arbitrary correlation structure between the random effects across dimensions, but independent (and possibly heteroscedastic) residuals. By factorizing the random effects covariance matrix, we provide an explicit expression of the profiled deviance through a reparameterization of the model. This strategy can be viewed as the generalization of the estimation procedure used by Douglas Bates and his co-authors in the context of the fitting of one-dimensional linear mixed-effects models. Beside its robustness regarding the starting points, the approach enables a numerically consistent estimate of the random effects covariance matrix while classical alternatives such as the EM algorithm are usually non-consistent. In a simulation study, we compare the estimates obtained from the present method with the EM algorithm-based estimates. We finally apply the method to a study of an immune response to Malaria in Benin.
Joint Variable Selection for Fixed and Random Effects in Linear Mixed-Effects Models
