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Statistical Theory

Series

2009

Information criterion; Kullback-Leibler information; model selection; penalized splines; random effect; variance component

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Full-Text Articles in Statistics and Probability

On The Behaviour Of Marginal And Conditional Akaike Information Criteria In Linear Mixed Models, Sonja Greven, Thomas Kneib Nov 2009

On The Behaviour Of Marginal And Conditional Akaike Information Criteria In Linear Mixed Models, Sonja Greven, Thomas Kneib

Johns Hopkins University, Dept. of Biostatistics Working Papers

In linear mixed models, model selection frequently includes the selection of random effects. Two versions of the Akaike information criterion (AIC) have been used, based either on the marginal or on the conditional distribution. We show that the marginal AIC is no longer an asymptotically unbiased estimator of the Akaike information, and in fact favours smaller models without random effects. For the conditional AIC, we show that ignoring estimation uncertainty in the random effects covariance matrix, as is common practice, induces a bias that leads to the selection of any random effect not predicted to be exactly zero. We derive …