1. Frequentist model averaging for linear mixed-effects models.
- Author
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Chen, Xinjie, Zou, Guohua, and Zhang, Xinyu
- Subjects
- *
LINEAR systems , *MATHEMATICAL models , *LONGITUDINAL method , *ASYMPTOTIC distribution , *PROBABILITY theory , *PARAMETER estimation - Abstract
Linear mixed-effects models are a powerful tool for the analysis of longitudinal data. The aim of this paper is to study model averaging for linear mixed-effects models. The asymptotic distribution of the frequentist model average estimator is derived, and a confidence interval procedure with an actual coverage probability that tends to the nominal level in large samples is developed. The two confidence intervals based on the model averaging and based on the full model are shown to be asymptotically equivalent. A simulation study shows good finite sample performance of the model average estimators. [ABSTRACT FROM AUTHOR]
- Published
- 2013
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