[R-sig-ME] Equivalence of (0 + factor|group) and (1|group) + (1|group:factor) random effect specifications in case of compound symmetry

Emmanuel Curis emmanuel.curis at parisdescartes.fr
Mon Sep 25 10:15:41 CEST 2017


Hello,

I'm not sure if I understand correctly, but I think the "compound
symmetry" mention usually applies to the covariance matrix of the
observations, Y, in a given cluster.

In that case, and omiting the fixed part of the model that does not
change the Y covariance matrix, we have

 Y = fixed effects + X U + epsilon

with U the random effect(s), X the design matrix for it, and epsilon
the residual error.

Hence, assuming random effect and epsilon independant

Sigma(Y) = tX Sigma( U ) X + Sigma( epsilon)

so Sigma(Y) will have compound symmetry as soon as both X Sigma(U) tX
and Sigma( epsilon ) have themselves compound symmetry — or if they
have structure that kind of "compensate" themselve. So basically, that
does not preclude from having correlations between levels of a fixed
effect factor.

However, let consider a scholar case with two observations on the same
patient [cluster] that takes or not its treatment [fixed effect], with
a different random effect for both cases, and let consider two ways of
writing it.

Let Sigma(epsilon) = ( se² rse   ), Sigma(U) = ( sa² r   )
                     ( rse  se²' )             ( r   sb² )

(typically, rse = 0, se² = se²')

1) Let be U1 the random effect for patient without treatment and U2
   therandom effect for the same patient with treatment, so

X = ( 1 0 ) = identity.
    ( 0 1 )

In that case, X Sigma(U) tX = Sigma(U) so 

Sigma(Y) = ( sa² + se²     r + rse  )
           (  r  + rse   sb² + se²' )

and you have compound symmetry if sa² + se² = sb² + se²', that is in
the classical case of se² = se²', assuming equal variances for both
the two random effects. But there is no condition on r: you can have
any correlation between the levels and still have compound symmetry.

2) U1 for patient i and U2 for effect of treatment in patient i.

So X = ( 1 0 ), tX = ( 1 1 )
       ( 1 1 )       ( 0 1 )

Then Sigma(Y) = ( sa² + se²        sa² + r + rse         )
                ( sa² + r + rse    sa² + sb² + 2r + se²' )

and compound symmetry is much harder to obtain for Y, you should have
se² = sb² + se²' + 2r — only possible for the usual model that assumes
se²' = se² if r = -sb²/2, which is a special case. Other correlations
between levels (r) will not lead to compound symmetry.

(Hope my computations are correct).

This suggests that the answer also depends on the way the model is
coded...

Hope this helps and really corresponds to the question asked,

Best regards,

On Sat, Sep 23, 2017 at 07:26:53PM +0200, Maarten Jung wrote:
« Thanks, this really helped me understand the models!
« 
« There is one thing I still don't understand: I think that compound symmetry
« implies equal variances within the factor levels and equal
« covariances/correlations between the levels. If there are equal variances
« within the factor levels and no correlations between the levels I
« understand the equivalence of m1, m.zcp and m2.
« 
« But what if there are correlations between the levels? you explained that
« m2 forces the correlation parameters to zero. But Douglas Bates states that
« the models are equivalent given compound symmetry (which I think doesn't
« imply zero correlations).
« 
« Just to double check: This m1 -> m.zcp -> m2 -> m.vio is a reasonable model
« reduction approach, right?
« 
« 2017-09-23 13:51 GMT+02:00 Reinhold Kliegl <reinhold.kliegl at gmail.com>:
« 
« > This should always be "k(k-1)/2" correlation parameters, of course.
« >
« > Also perhaps you may want to read this post to the list by Douglas Bates:
« > https://stat.ethz.ch/pipermail/r-sig-mixed-models/2009q1/001736.html
« >
« > On Sat, Sep 23, 2017 at 1:41 PM, Reinhold Kliegl <
« > reinhold.kliegl at gmail.com> wrote:
« >
« >> The models are on a continuum of complexity wrt to the random-effects
« >> structure. Specifically:
« >>
« >> m1 estimates k variance components and k(k-1) correlation parameters for
« >> the k levels of factor f
« >>
« >> m2 estimates 1 variance component for the intercept and a 1 variance
« >> component for the k-1 contrasts defined for the k levels of factor f, that
« >> it constrains the k-1 contrasts for factor f to the same value. The
« >> correlation parameters are forced to zero.
« >>
« >> The continuum becomes transparent if one re-parameterizes m1 as a m1a
« >> (see below) with 1 variance component for the intercept and k-1 variance
« >> components for the k levels of factor f, and k(k-1) correlation parameters.
« >>  m1 and m1a have the same number of parameters and identical deviance.
« >>
« >> m1a <- lmer(y ~ factor + (factor|group))
« >>
« >> There is an additional model specification on this continuum between m1
« >> and m2.  If contrasts are converted to numeric covariates, one can force
« >> correlation parameters to zero, but estimate different variance components
« >> for the k-1 contrasts of factor f. We call this the zero-correlation
« >> parameter model.
« >>
« >> cB_A <- model.matrix(m1)[,2]
« >> cC_A <- model.matrix(m1)[,3]
« >>
« >> m.zcp <- lmer(score ~ 1 + Machine + (1 + cB_A + cC_A  ||  Worker),
« >>  data=Machines, REML=FALSE)
« >> print(summary(m.zcp), corr=FALSE)
« >>
« >> Note that m.zcp without the double-bar is equivalent to m1 and m1b.
« >> m.1b <- lmer(score ~ 1 + Machine + (1 + cB_A + cC_A  |  Worker),
« >>  data=Machines, REML=FALSE)
« >> print(summary(m.zcp), corr=FALSE)
« >>
« >> Of course, there is also a simpler model than m2 - the
« >> varying-intercept-only model:
« >>
« >> m.vio <- lmer(score ~ 1 + Machine + (1 | Worker),  data=Machines,
« >> REML=FALSE)
« >> print(summary(m.zcp), corr=FALSE)
« >>
« >> Here is some R code demonstrating all this for the Machines data.
« >>
« >> ####
« >> library(lme4)
« >> #library(RePsychLing)
« >>
« >> data("Machines", package = "MEMSS")
« >>
« >> # OP m1
« >> m1 <- lmer(score ~ 1 + Machine + (0 + Machine | Worker), data=Machines,
« >> REML=FALSE)
« >> print(summary(m1), corr=FALSE)
« >>
« >> # re-parameterization of m1
« >> m1a <- lmer(score ~ 1 + Machine + (1 + Machine | Worker), data=Machines,
« >> REML=FALSE)
« >> print(summary(m1a), corr=FALSE)
« >>
« >> # alternative specification of m1a
« >> cB_A <- model.matrix(m1)[,2]
« >> cC_A <- model.matrix(m1)[,3]
« >>
« >> m1b <- lmer(score ~ 1 + Machine + (1 + cB_A + cC_A  | Worker),
« >>  data=Machines, REML=FALSE)
« >> print(summary(m1b), corr=FALSE)
« >>
« >> anova(m1, m1a, m1b)
« >>
« >> # zero-correlation parameter LMM
« >> m.zcp <- lmer(score ~ 1 + Machine + (1 + cB_A + cC_A  || Worker),
« >>  data=Machines, REML=FALSE)
« >> print(summary(m.zcp), corr=FALSE)
« >>
« >> # OP m2
« >> m2 <- lmer(score ~ 1 + Machine + (1 | Worker) + (1 | Machine:Worker),
« >> data=Machines, REML=FALSE)
« >> print(summary(m2), corr=FALSE)
« >>
« >> # varying-intercept-only LMM
« >> m.vio <- lmer(score ~ 1 + Machine + (1 | Worker), data=Machines,
« >> REML=FALSE)
« >> print(summary(m.vio), corr=FALSE)
« >>
« >> anova(m1, m.zcp, m2, m.vio)
« >>
« >> sessionInfo()
« >> ####
« >>
« >> You may also want to look this RPub:
« >> http://www.rpubs.com/Reinhold/22193
« >>
« >> On Sat, Sep 23, 2017 at 11:43 AM, Maarten Jung <
« >> Maarten.Jung at mailbox.tu-dresden.de> wrote:
« >>
« >>> Hello everyone,
« >>>
« >>> I have a question regarding the equivalence of the following models:
« >>>
« >>> m1 <- lmer(y ~ factor + (0 + factor|group))
« >>> m2 <- lmer(y ~ factor + (1|group) + (1|group:factor))
« >>>
« >>> Douglas Bates states (slide 91 in this presentation [1])  that these
« >>> models
« >>> are equivalent in case of compound symmetry.
« >>>
« >>> 1. I realized that I don't really understand the random slope by factor
« >>> model (m1) and espacially why it reduces to m2 given compound symmetry.
« >>> Also, why is there no random intercept in m1?
« >>> Can anyone explain the difference between the models and how m1 reduces
« >>> to
« >>> m2 in an intuitive way.
« >>>
« >>> 2. If m1 is a special case of m2 – this could be an interesting option
« >>> for
« >>> model reduction but I’ve never seen something like m2 in papers. Instead
« >>> they suggest dropping the random slope and thus the interaction
« >>> completely
« >>> (e.g. Matuschek et al. 2017 [3]).
« >>> What do you think about it?
« >>>
« >>> Please note that I asked the question on Stack Exchange [2] but some
« >>> consider it as off-topic. So, I hope one of you can help me out.
« >>>
« >>>
« >>> Best regards,
« >>> Maarten
« >>>
« >>> [1] http://www.stat.wisc.edu/~bates/UseR2008/WorkshopD.pdf
« >>> [2] https://stats.stackexchange.com/q/304374/136579
« >>> [3] https://doi.org/10.1016/j.jml.2017.01.001
« >>>
« >>>         [[alternative HTML version deleted]]
« >>>
« >>> _______________________________________________
« >>> R-sig-mixed-models at r-project.org mailing list
« >>> https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
« >>
« >>
« >>
« >
« 
« 	[[alternative HTML version deleted]]
« 
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-- 
                                Emmanuel CURIS
                                emmanuel.curis at parisdescartes.fr

Page WWW: http://emmanuel.curis.online.fr/index.html



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