[R] lm: RME vs. ML

[Bert Gunter]

A contrarian point of view:

If you have so little data (relative to the number of parameters to be
estimated, especially NONLINEAR parameters like covariance estimates)that
the ml vs reml bias could be large, then there's so little information
anyway that such bias is the least of your problems (identifiability
probably is a major issue-- mis-shapen confidence regions).

Ergo, worrying about df (ml vs reml) is just a silly obsession of
statisticians (of which I'm one).

Criticisms, public or private, welcome of course. 

This is my view only and should not be considered a stain on my employer --
other than its misfortune in employing me.


Bert Gunter
Genentech Nonclinical Biostatistics


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of John Sorkin
Sent: Tuesday, December 08, 2009 7:12 AM
To: r-help-bounces at r-project.org; JLucke at ria.buffalo.edu
Cc: r-help at r-project.org
Subject: Re: [R] lm: RME vs. ML

Your question is well taken. I did not give any criteria because I realized
there might be different answers based upon different criteria. Certainly
one fundamental criteria would be that the estimates are BLUE, but this is
not the only criteria one might be used.
John 
-----Original Message-----
From: <JLucke at ria.buffalo.edu>
To: John Sorkin <jsorkin at grecc.umaryland.edu>
Cc:  <r-help at r-project.org>
To:  <r-help-bounces at r-project.org>

Sent: 12/8/2009 9:39:28 AM
Subject: Re: [R] lm: RME vs. ML

You need to give your criteria for "preferable".  For normal-linear 
models, REML estimates of variances are unbiased, whereas ML estimates are 
downwardly biased.  My intuition is that the ML-induced bias would be 
worse in small samples. I don't know about other distributions. Likewise I 
don't know about MSE or other criterion for preference.






"John Sorkin" <jsorkin at grecc.umaryland.edu> 
Sent by: r-help-bounces at r-project.org
12/07/2009 09:24 PM

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Subject
[R] lm: RME vs. ML






windows XP
R 2.10

As pointed out by Prof. Venables and Ripley (MASS 4th edition, p275), the 
results obtained from lme using method="ML" and method="REML" are often 
different, especially for small datasets. Is there any way to determine 
which method is preferable for a given set of data?
Thanks,
john


John David Sorkin M.D., Ph.D.
Chief, Biostatistics and Informatics
University of Maryland School of Medicine Division of Gerontology
Baltimore VA Medical Center
10 North Greene Street
GRECC (BT/18/GR)
Baltimore, MD 21201-1524
(Phone) 410-605-7119
(Fax) 410-605-7913 (Please call phone number above prior to faxing)

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