[R-sig-ME] Standard errors of variances; negative variance

Tue Jun 20 15:21:07 CEST 2023

Thierry,
I have the same question that you posed, how can a variance, a measure that is squared be negative? Will, please enlighten us!
John
John David Sorkin M.D., Ph.D.
Professor of Medicine
Chief, Biostatistics and Informatics
University of Maryland School of Medicine Division of Gerontology and Geriatric Medicinet
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On Jun 20, 2023, at 3:45 AM, Thierry Onkelinx via R-sig-mixed-models <r-sig-mixed-models using r-project.org> wrote:

Dear all,

A negative variance seems odd to me. Isn't a variance positive by
definition? How would you interpret a random intercept with a negative
variance?

Best regards,

ir. Thierry Onkelinx
Statisticus / Statistician

Vlaamse Overheid / Government of Flanders
INSTITUUT VOOR NATUUR- EN BOSONDERZOEK / RESEARCH INSTITUTE FOR NATURE AND
FOREST
Team Biometrie & Kwaliteitszorg / Team Biometrics & Quality Assurance
thierry.onkelinx using inbo.be
Havenlaan 88 bus 73, 1000 Brussel
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Op di 20 jun 2023 om 01:36 schreef Ben Bolker <bbolker using gmail.com>:

  Hi, Will,

Googling

 site:https://nam11.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fpipermail%2Fr-sig-mixed-models%2F&data=05%7C01%7Cjsorkin%40som.umaryland.edu%7C2c0d1047636b43c2bfcc08db71625f82%7C717009a620de461a88940312a395cac9%7C0%7C0%7C638228439560019013%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=vw%2FnMxnvA7L9A0qYuJfHa9suA2YBTnZ%2BqxPltyR3G%2FU%3D&reserved=0 "negative
variance"

claims to get you 67 results (although only 11 that Google considers
worth displaying by default),

  You can filter by date - there are only two hits since 2020:

https://nam11.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.google.com%2Fsearch%3Fq%3Dsite%253Ahttps%253A%252F%252Fstat.ethz.ch%252Fpipermail%252Fr-sig-mixed-models%252F%2B%2522negative%2Bvariance%2522%26client%3Dfirefox-b-d%26tbs%3Dcdr%253A1%252Ccd_min%253A01-01-2020%252Ccd_max%253A%26tbm%3D&data=05%7C01%7Cjsorkin%40som.umaryland.edu%7C2c0d1047636b43c2bfcc08db71625f82%7C717009a620de461a88940312a395cac9%7C0%7C0%7C638228439560019013%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=xbWrjRwClEMYFKVkncDFgZga6SPNcmsPvbNs4kpUQjY%3D&reserved=0

  and these both look like false positives (they include "negative" and
"variance" but not "negative variance" ...)

  The short answer is that I am not aware of any mixed effect package
in R that will allow you to return negative values. You can see my
answer here:
https://nam11.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fpipermail%2Fr-sig-mixed-models%2F2018q1%2F026437.html&data=05%7C01%7Cjsorkin%40som.umaryland.edu%7C2c0d1047636b43c2bfcc08db71625f82%7C717009a620de461a88940312a395cac9%7C0%7C0%7C638228439560019013%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=2E5S51uIXiPEsuH11f693MEOLYFb2dh5e39t2GSLor8%3D&reserved=0 ...

  As for uncertainties in variances - the merDeriv package (dating back
to 2017) will give you the standard errors of variances and covariances
(although again, note that there's a theoretical issue here - the
standard errors are often extremely poor summaries of the uncertainty or
RE variances, the original authors of lme4 would certainly prefer that
you use profile confidence intervals to summarize the uncertainty ...)

  That's what I know -- perhaps someone else knows about a package that
allows for negative variances ... ??

On 2023-06-19 6:13 p.m., Will Hopkins wrote:
I've just joined this list to get answers to a few questions. I would
have
searched the archive before posting, but there seems to be no way of
searching except via quarterly summaries. I searched the last four
quarters
without success.

I'm a SAS user, but a few years ago I tried the mixed model in R, with
the
help of an R user (Alice Sweeting). At that time, the lme package did not
provide standard errors for the variances, nor did it allow negative
variance. Have these limitations been addressed?  As I recall, Alice
found
some code that provided standard errors, but it gave values different
from
those of the mixed model in SAS (Proc Mixed). I therefore opted to stay
with
SAS, because allowing for negative variance for random effects other than
residuals and estimating uncertainties in variances are both fundamental
to
mixed modeling, in my view. I also became fluent with SAS coding over the
years and did not want to make the effort with R coding. Interestingly,
SAS
introduced a free cloud version called SAS Studio, evidently modeled on R
Studio, to try to win back customers!

Will

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