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@grecc.umaryland.edu> 
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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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