Re: [R] storing the estimates from lmer

From: Göran Broström <goran.brostrom_at_gmail.com>
Date: Tue 18 Jul 2006 - 03:59:31 EST

On 7/15/06, Douglas Bates <bates@stat.wisc.edu> wrote:
> Hi Spencer,

[....]
> <rant>
> Some software, notably SAS PROC MIXED, does produce standard errors
> for the estimates of variances and covariances of random effects. In
> my opinion this is more harmful than helpful. The only use I can
> imagine for such standard errors is to form confidence intervals or to
> evaluate a z-statistic or something like that to be used in a
> hypothesis test. However, those uses require that the distribution of
> the parameter estimate be symmetric, or at least approximately
> symmetric, and we know that the distribution of the estimate of a
> variance component is more like a scaled chi-squared distribution
> which is anything but symmetric.

You should add ..."when the true value of the variance is (close to) zero", I guess. Or does not standard asymptotic ML theory apply to these models? BTW, what is a
"scaled chi-squared distribution"?

Göran



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