[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) ???
<SNIP>
> 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.
cheers,
Rolf
--
Honorary Research Fellow
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276
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