# [R-sig-ME] A theoretical question : usage of AIC and similar information criteria for mixed models

D. Rizopoulos d@rizopoulo@ @ending from er@@mu@mc@nl
Thu Nov 1 22:24:55 CET 2018

```There are several definitions of AIC for mixed models, and it matters at which level you want to do the selection, i.e., for the implied marginal model (fixed effects alone) or the hierarchical model (fixed and random effects).

For the latter, have a look at the cAIC4 package (https://cran.r-project.org/package=cAIC4 )

Best,
Dimitris

From: Nik Tuzov <ntuzov using ntuzov.com<mailto:ntuzov using ntuzov.com>>
Date: Thursday, 01 Nov 2018, 8:02 PM
To: r-sig-mixed-models using r-project.org <r-sig-mixed-models using r-project.org<mailto:r-sig-mixed-models using r-project.org>>
Subject: [R-sig-ME] A theoretical question : usage of AIC and similar information criteria for mixed models

Hello all:
I was wondering if you could comment on this theoretical question.
You are probably familiar with the book of Burnham & Anderson:

https://www.amazon.com/Kenneth-Burnham-Selection-Multi-Model-Information-Theoretic/dp/B008UBJ0VQ/ref=sr_1_2?s=books&ie=UTF8&qid=1540931659&sr=1-2&keywords=model+selection+and+multimodel+inference

1) They claim (Section 6.6.1) that AIC and similar information criteria can not be used to compare models that have different random effects
because the number of effective parameters associated with a random effect is unknown. For instance, if there is a fixed categorical factor with K levels,
then the number of parameters associated with it is (K - 1). If that factor is labeled random, then one can say there is only one parameter,
the corresponding variance component sigma_K. However, most likely the number of "effective" parameters is somewhere between 1 and (K-1).
Since we don't know what it is, AIC is not computable.

2) On the other hand, I believe any mixed model can be represented as Y = Xb + e, where X describes the fixed effects and e is the variance-covariance matrix
of the error terms that is defined by random effects. Technically speaking, that model has no random effects, and the solution can be obtained using
Generalized Least Squares. Given all that, Burnham & Anderson essentially claim that AIC and similar criteria cannot be computed for GLS.

3) I find it hard to believe in 2). In particular, AIC have been routinely used in Time Series. A simple AR(1) model can be represented as Y = Xb + e
where Var[e] is not diagonal because all of the observations are correlated. If it's ok to use AIC for Time Series, why is it a problem with
GLS and mixed models?

Please let me know what you think.

Regards,
Nik Tuzov, PhD

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