From: Douglas Bates <bates_at_stat.wisc.edu>

Date: Fri 08 Sep 2006 - 22:00:00 GMT

> It's a different test, isn't it? Your test is based upon the between

*> group sum of squares with 2 df. I am proposing to use the within
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*> group sum of squares or its generalization.
*

number of obs: 18, groups: Rail, 6

> mns <- with(Rail, tapply(travel, Rail, mean)) # group means

> sd(mns)/sqrt(length(mns)) # standard error matches that from lmer

[1] 10.17104

> t.test(mns)

attr(,"Probability")

[1] 0.95

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sat Sep 09 08:03:31 2006

Date: Fri 08 Sep 2006 - 22:00:00 GMT

On 9/7/06, Douglas Bates <bates@stat.wisc.edu> wrote:

> On 07 Sep 2006 17:20:29 +0200, Peter Dalgaard <p.dalgaard@biostat.ku.dk> wrote:

*> > Martin Maechler <maechler@stat.math.ethz.ch> writes:
**> >
**> > > >>>>> "DB" == Douglas Bates <bates@stat.wisc.edu>
**> > > >>>>> on Thu, 7 Sep 2006 07:59:58 -0500 writes:
**> > >
**> > > DB> Thanks for your summary, Hank.
**> > > DB> On 9/7/06, Martin Henry H. Stevens <hstevens@muohio.edu> wrote:
**> > > >> Dear lmer-ers,
**> > > >> My thanks for all of you who are sharing your trials and tribulations
**> > > >> publicly.
**> > >
**> > > >> I was hoping to elicit some feedback on my thoughts on denominator
**> > > >> degrees of freedom for F ratios in mixed models. These thoughts and
**> > > >> practices result from my reading of previous postings by Doug Bates
**> > > >> and others.
**> > >
**> > > >> - I start by assuming that the appropriate denominator degrees lies
**> > > >> between n - p and and n - q, where n=number of observations, p=number
**> > > >> of fixed effects (rank of model matrix X), and q=rank of Z:X.
**> > >
**> > > DB> I agree with this but the opinion is by no means universal. Initially
**> > > DB> I misread the statement because I usually write the number of columns
**> > > DB> of Z as q.
**> > >
**> > > DB> It is not easy to assess rank of Z:X numerically. In many cases one
**> > > DB> can reason what it should be from the form of the model but a general
**> > > DB> procedure to assess the rank of a matrix, especially a sparse matrix,
**> > > DB> is difficult.
**> > >
**> > > DB> An alternative which can be easily calculated is n - t where t is the
**> > > DB> trace of the 'hat matrix'. The function 'hatTrace' applied to a
**> > > DB> fitted lmer model evaluates this trace (conditional on the estimates
**> > > DB> of the relative variances of the random effects).
**> > >
**> > > >> - I then conclude that good estimates of P values on the F ratios lie
**> > > >> between 1 - pf(F.ratio, numDF, n-p) and 1 - pf(F.ratio, numDF, n-q).
**> > > >> -- I further surmise that the latter of these (1 - pf(F.ratio, numDF,
**> > > >> n-q)) is the more conservative estimate.
**> > >
**> > > This assumes that the true distribution (under H0) of that "F ratio"
**> > > *is* F_{n1,n2} for some (possibly non-integer) n1 and n2.
**> > > But AFAIU, this is only approximately true at best, and AFAIU,
**> > > the quality of this approximation has only been investigated
**> > > empirically for some situations.
**> > > Hence, even your conservative estimate of the P value could be
**> > > wrong (I mean "wrong on the wrong side" instead of just
**> > > "conservatively wrong"). Consequently, such a P-value is only
**> > > ``approximately conservative'' ...
**> > > I agree howevert that in some situations, it might be a very
**> > > useful "descriptive statistic" about the fitted model.
**> >
**> > I'm very wary of ANY attempt at guesswork in these matters.
**> >
**> > I may be understanding the post wrongly, but consider this case: Y_ij
**> > = mu + z_i + eps_ij, i = 1..3, j=1..100
**> >
**> > I get rank(X)=1, rank(X:Z)=3, n=300
**> >
**> > It is well known that the test for mu=0 in this case is obtained by
**> > reducing data to group means, xbar_i, and then do a one-sample t test,
**> > the square of which is F(1, 2), but it seems to be suggested that
**> > F(1, 297) is a conservative test???!
*

>

> It's a different test, isn't it? Your test is based upon the between

On closer examination I see that you are indeed correct. I have heard that "well-known" result many times and finally sat down to prove it to myself. For a balanced design the standard error of the intercept using the REML estimates is the same as the standard error of the mean calculated from the group means.

*> data(Rail, package = 'nlme')
*

> library(lme4)

> summary(fm1 <- lmer(travel ~ 1 + (1|Rail), Rail))

Linear mixed-effects model fit by REML

Formula: travel ~ 1 + (1 | Rail)

Data: Rail

AIC BIC logLik MLdeviance REMLdeviance
126.2 128.0 -61.09 128.6 122.2
Random effects:

Groups Name Variance Std.Dev. Rail (Intercept) 615.286 24.8050 Residual 16.167 4.0208

number of obs: 18, groups: Rail, 6

Fixed effects:

Estimate Std. Error t value (Intercept) 66.50 10.17 6.538

> mns <- with(Rail, tapply(travel, Rail, mean)) # group means

> sd(mns)/sqrt(length(mns)) # standard error matches that from lmer

[1] 10.17104

> t.test(mns)

One Sample t-test

data: mns

t = 6.5382, df = 5, p-value = 0.001253

alternative hypothesis: true mean is not equal to 0
95 percent confidence interval:

40.35452 92.64548

sample estimates:

mean of x

66.5

> ctab <- summary(fm1)@coefs # coefficient table

> ctab[,1] + c(-1,1) * qt(0.975, 15) * ctab[,2] # 95% conf. int.

[1] 44.82139 88.17861

> ## interval using df = # of obs - rank of [Z:X] is too narrow

So my proposal of using either the trace of the hat matrix or the rank of the combined model matrices as the degrees of freedom for the model is not conservative.

However, look at the following

*> set.seed(123454321) # for reproducibility
**> sm1 <- mcmcsamp(fm1, 50000)
*

> library(coda)

> HPDinterval(sm1)

lower upper (Intercept) 40.470663 92.608514 log(sigma^2) 2.060179 3.716326 log(Rail.(In)) 5.371858 8.056897 deviance 128.567329 137.487455

attr(,"Probability")

[1] 0.95

The HPD interval calculated from a MCMC sample reproduce the interval from the group means almost exactly. This makes sense in that the MCMC sample takes into account the variation in the estimates of the variance components, just as defining intervals based on the Student's t does.

So for this case where the distribution of the estimate of the mean has a known distribution the correct degrees of freedom and the MCMC sample produce similar answers.

This gives me more confidence in the results from the MCMC sample in general cases.

The problem I have with trying to work out what the degrees of freedom "should be" is that the rules seem rather arbitrary. For example, the "between-within" rule used in SAS PROC Mixed is popular (many accept it as the "correct" answer) but it assumes that the degrees of freedom associated with a random effect grouped by a factor with k levels is always k - 1. This value is used even when there is a random intercept and a random slope for each group. In fact you could have an arbitrary number of random effects for each level of the grouping factor and it would still apparently only cost you k - 1 degrees of freedom. That doesn't make sense to me.

Anyway, I thank you for pointing out the errors of my ways Peter.

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sat Sep 09 08:03:31 2006

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