[R-sig-ME] Removing p.d. constraint for random effects in lme

Douglas Bates bates at stat.wisc.edu
Mon Apr 6 21:43:54 CEST 2015


On Mon, Apr 6, 2015 at 2:41 PM Douglas Bates <bates at stat.wisc.edu> wrote:

> It is possible that a fit using lmer in the lme4 package will end up with
> a positive semi-definite covariance matrix for the random effects.  The way
> that the nlme package fits the model the fitted covariance matrix cannot
> have eigenvalues of zero.  They can be very small but not zero.
>
> A considerable amount of the development of the numerical methods in lmer
> was to be able to all the fitted covariance matrices to be semi-definite.
>

I meant to write "allow the fitted covariance ..."

As for allowing an indefinite covariance matrix in the model, a covariance
> matrix is, by definition, positive semi-definite and i stand by my
> statement in
>
> library(fortunes)
> fortune("impediment")
>

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