[R-sig-ME] ML vs. REML to find a parsimonious mixed model

[Maarten Jung]

 Hi Christoph,

No, I didn't.
And I'm still very interested in what other mixed model experts/experienced
mixed model users think about it.
At the moment I tend to use REML for this purpose.

Best,
Maarten

On Mon, Apr 23, 2018 at 4:20 PM, Christoph Huber <
christoph.huber-huber at univie.ac.at> wrote:

> Hi Maarten,
>
> Did you get any responses yet? I was facing the same problem and went for
> REML eventually. But it still seems to me that this question does not (yet)
> have a definite answer.
>
> Best,
> Christoph
>
>
>
> Am 16.04.2018 um 12:00 schrieb r-sig-mixed-models-request at r-project.org:
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>   1. ML vs. REML to find a parsimonious mixed model (Maarten Jung)
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> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 15 Apr 2018 13:00:08 +0200
> From: Maarten Jung <Maarten.Jung at mailbox.tu-dresden.de>
> To: Help Mixed Models <r-sig-mixed-models at r-project.org>
> Subject: [R-sig-ME] ML vs. REML to find a parsimonious mixed model
> Message-ID:
> <CAHr4Dycsa1wmOXKKmDuGzrQi8pxgXq55iQxjEoEzFvyYNmvUvA at mail.gmail.com>
> Content-Type: text/plain; charset="utf-8"
>
> I want to use LRTs via anova() on fitted linear mixed models (merMod
> objects) to find a parsimonious mixed model containing only variance
> components supported by the data (e.g. Matuschek et al. 2017 [1], Bates et
> al. 2015 [2]).
> In this situation my focus is *only on the reduction of the random effects
> part* of the models.
> The aforementioned papers use ML instead of REML estimation within this
> process. Douglas Bates seems to prefer ML model comparison due to the
> skewed nature of the distribution of variance estimators [3] and the user
> Wolfgang states that "the ML estimator usually has lower mean-squared error
> (MSE) than the REML estimator" [4]. However, literally every textbook I
> know suggests using REML estimation when comparing mixed models that differ
> only in their random effect parts.
>
> What would you suggest in this particular situation? ML or REML?
>
> Best regards,
> Maarten
>
> [1] https://arxiv.org/abs/1511.01864
> [2] https://arxiv.org/abs/1506.04967
> [3] https://stat.ethz.ch/pipermail/r-sig-mixed-models/2015q3/023750.html
> [4] https://stats.stackexchange.com/a/48770
>
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> End of R-sig-mixed-models Digest, Vol 136, Issue 26
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>
> —
> Dr. Christoph Huber-Huber
> Center for Mind/Brain Sciences (CIMeC)
> University of Trento
> Corso Bettini 31
> <https://maps.google.com/?q=Corso+Bettini+31+38068+Rovereto&entry=gmail&source=g>
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> e-mail: christoph.huberhuber at unitn.it
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