Re: [R] Kenward-Roger correction in lme

From: Peter Dalgaard <p.dalgaard_at_biostat.ku.dk>
Date: Mon, 25 Feb 2008 20:46:10 +0100

Ben Bolker wrote:
> stian <at> mail.rockefeller.edu <stian <at> mail.rockefeller.edu> writes:
>
>> Hi,I am wondering how to conduct Kenward-Roger correction in
>> the linear mixed model using R. Any idea?
>>
>> Thanks a lot,
>>
>> Suyan
>>
>
> Not really possible, I'm afraid. Having already invested a huge
> amount of time in making lme4 available (and this is the cutting-edge
> version of linear mixed models for R), Doug Bates has declined to
> spend effort implementing K-R because (1) he's not convinced of the
> appropriateness of adjusting F-distribution degrees of freedom in
> this way, (2) he doesn't think that the K-R algorithm will be
> feasible for the sorts of large-data problems he's interested in,
> (3) [can't find the reference] he finds the correspondence between
> K-R's notation and his difficult.
>
>
The last one could be due to me rather than Doug, and certainly, it is just an obstacle rather than anything prohibitive in itself. I tend to think that (2) is "nontrivial" rather than "infeasible", but it is true that the K-R formulas depend on items like the covariance matrix (say, Sigma) for the entire data set, which is at best implicitly available in large-data problems. Whether or not it would be possible to work with implicit representations of Sigma is what is difficult to see because of the notational differences (it's been a while, but my recollection is that Doug uses Sigma for a different purpose, and there are a couple of similarly confusing notational switches).

The whole K-R theory (and others of its kind) has the same weakness as the t-distribution: It relies on 3rd and 4th moments of the data distribution, so it is going to be wrong if data are not Gaussian. However, it is still useful to know whether the correction is small or large under idealized conditions.

> This should probably go on an FAQ list somewhere:
>
> By the way, RSiteSearch("Kenward-Roger") would have
> yielded some information ...
>
> http://finzi.psych.upenn.edu/R/Rhelp02a/archive/81969.html
> http://finzi.psych.upenn.edu/R/Rhelp02a/archive/49633.html
>
> For further information, please see the r-sig-mixed archives.
>
> cheers
> Ben Bolker
>
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-- 
   O__  ---- Peter Dalgaard             ุster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard_at_biostat.ku.dk)                  FAX: (+45) 35327907

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Received on Mon 25 Feb 2008 - 19:50:55 GMT

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