Electronic Journal of Statistics

A unifying approach to the estimation of the conditional Akaike information in generalized linear mixed models

Benjamin Saefken, Thomas Kneib, Clara-Sophie van Waveren, and Sonja Greven

Full-text: Open access

Abstract

The conditional Akaike information criterion, AIC, has been frequently used for model selection in linear mixed models. We develop a general framework for the calculation of the conditional AIC for different exponential family distributions. This unified framework incorporates the conditional AIC for the Gaussian case, gives a new justification for Poisson distributed data and yields a new conditional AIC for exponentially distributed responses but cannot be applied to the binomial and gamma distributions. The proposed conditional Akaike information criteria are unbiased for finite samples, do not rely on a particular estimation method and do not assume that the variance-covariance matrix of the random effects is known. The theoretical results are investigated in a simulation study. The practical use of the method is illustrated by application to a data set on tree growth.

Article information

Source
Electron. J. Statist., Volume 8, Number 1 (2014), 201-225.

Dates
First available in Project Euclid: 27 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1393510264

Digital Object Identifier
doi:10.1214/14-EJS881

Mathematical Reviews number (MathSciNet)
MR3178544

Zentralblatt MATH identifier
1282.62168

Subjects
Primary: 62J12: Generalized linear models
Secondary: 62J07: Ridge regression; shrinkage estimators

Keywords
Conditional Akaike information criterion Kullback-Leibler distance model selection random effects generalized linear mixed models

Citation

Saefken, Benjamin; Kneib, Thomas; van Waveren, Clara-Sophie; Greven, Sonja. A unifying approach to the estimation of the conditional Akaike information in generalized linear mixed models. Electron. J. Statist. 8 (2014), no. 1, 201--225. doi:10.1214/14-EJS881. https://projecteuclid.org/euclid.ejs/1393510264


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