[R-sig-ME] Log likelihood of a glmer() binomial model .

Rolf Turner r@turner @end|ng |rom @uck|@nd@@c@nz
Sat Apr 20 07:51:05 CEST 2019

On 20/04/19 12:44 PM, Ben Bolker wrote:

>    This seems wrong.

Yeah, that figures.

> The GLMM log-likelihood includes an integral over
> the distribution of the random effects.

I was aware of this.  I guess what I was naïvely expecting was that 
predict.merMod() would handle this.  I.e. that this predict method
(with type = "response") would return, for each observed y_i in the 
(new) data set

   Pr(Y = y_i) = \int_0 Pr(Y = y_i | R = r) f(r) dr

where R is the vector of random effects and f(r) is its probability 
density function (multivariate normal, with mean 0 and some covariance 
matrix, which has been estimated in the fitting process.

I guess that this is *not* what predict.merMod() returns --- but I don't 
understand why not.  It seems to me that this is what it "should" return.

I'm probably misunderstanding something, possibly simple, possibly subtle.

Apropos of nothing much, what *does* predict.merMod() return?
Maybe Pr(Y = y_i | R = 0) ???

>   Here is an **inefficient** method for computing the likelihood
>     coefs <- unlist(getME(fit,c("theta","beta"))
>     newdev <- update(fit, data=VS, devFunOnly=TRUE)
>     newdev(coefs)
> This is slow because it has to reconstruct all of the random-effects
> matrices, do permutations to reorder the relevant matrices to be as
> sparse as possible, etc. etc.

Thanks for this.  I'll give it a go.  I think that the slowness may not 
be an overwhelming drawback.  Anyhow I shall try to test it out.

Thanks again.



Honorary Research Fellow
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276

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