[R-sig-ME] More naive questions: Speed comparisons? what is a "stack imbalance" in lmer? does lmer center variables?

[Kevin Wright]

Paul,

It appears to me that the published timings you reference are
comparing the __nlme__ package with other software.  So the answer is
yes, nlme really is that slow for some models.  You are probably aware
that the __lme4__ package has faster algorithms.

There are many ways to fit mixed models in R including nlme, lme4,
MCMCglmm, admb asreml, BUGS, etc.  If I was teaching a course, I would
try to expose students to at least two of those in some detail and
touch briefly on the others: nlme can fit a variety of complex
varaiance structures, lme4 has faster algorithms, asreml is the only
choice of animal/plant breeders and has commercial support, MCMCglmm
has some Bayesian aspects and can fit some heteroskedastic variance
structures, admb is used in Fish & Wildlife, etc.

Mixed model fitting in R is definitely not a case of "one size fits all".

Kevin Wright


On Wed, Sep 23, 2009 at 1:36 AM, Paul Johnson <pauljohn32 at gmail.com> wrote:
> Sent this to r-sig-debian by mistake the first time.  Depressing.
>
> 1.  One general question for general discussion:
>
> Is HLM6 faster than lmer? If so, why?
>
> I'm always advocating R to students, but some faculty members are
> skeptical.  A colleague compared the commercial HLM6 software to lmer.
>  HLM6 seems to fit the model in 1 second, but lmer takes 60 seconds.
>
> If you have HLM6 (I don't), can you tell me if you see similar differences?
>
> My first thought was that LM6 uses PQL by default, and it would be
> faster.  However, in the output, HLM6 says:
>
> Method of estimation: restricted maximum likelihood
>
> But that doesn't tell me what quadrature approach they use, does it?
>
> Another explanation for the difference in time might be the way HLM6
> saves the results of some matrix calculations and re-uses them behind
> the scenes.  If every call to lmer is re-calculating some big matrix
> results, I suppose that could explain it.
>
> There are comparisons from 2006 here
>
> http://www.cmm.bristol.ac.uk/learning-training/multilevel-m-software/tables.shtml
>
> that indicate that lme was much slower than HLM, but that doesn't help
> me understand *why* there is a difference.
>
> 2. What does "stack imbalance in .Call" mean in lmer?
>
> Here's why I ask.  Searching for comparisons of lmer and HLM,  I went
> to CRAN &  I checked this document:
>
> http://cran.r-project.org/web/packages/mlmRev/vignettes/MlmSoftRev.pdf
>
> I *think* these things are automatically generated.  The version
> that's up there at this moment  (mlmRev edition 0.99875-1)  has pages
> full of the error message:
>
> stack imbalance in .Call,
>
> Were those always there?  I don't think so.   What do they mean?
>
> 3. In the HLM6 output, there is a message at the end of the variable list:
>
> '%' - This level-1 predictor has been centered around its grand mean.
> '$' - This level-2 predictor has been centered around its grand mean.
>
> What effect does that have on the estimates?  I believe it should have
> no effect on the fixed effect slope estimates, but it seems to me the
> estimates of the variances of random parameters would be
> changed.  In order to make the estimates from lmer as directly
> comparable as possible, should I manually center all of the variables
> before fitting the model?   I'm a little stumped on how to center a
> multi-category factor before feeding it to lmer.  Know what I mean?
>
> pj
>
> --
> Paul E. Johnson
> Professor, Political Science
> 1541 Lilac Lane, Room 504
> University of Kansas
>
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