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Maximizing generalized linear mixed model likelihoods with an automated Monte Carlo EM algorithm

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  • J. G. Booth
  • J. P. Hobert

Abstract

Two new implementations of the EM algorithm are proposed for maximum likelihood fitting of generalized linear mixed models. Both methods use random (independent and identically distributed) sampling to construct Monte Carlo approximations at the E‐step. One approach involves generating random samples from the exact conditional distribution of the random effects (given the data) by rejection sampling, using the marginal distribution as a candidate. The second method uses a multivariate t importance sampling approximation. In many applications the two methods are complementary. Rejection sampling is more efficient when sample sizes are small, whereas importance sampling is better with larger sample sizes. Monte Carlo approximation using random samples allows the Monte Carlo error at each iteration to be assessed by using standard central limit theory combined with Taylor series methods. Specifically, we construct a sandwich variance estimate for the maximizer at each approximate E‐step. This suggests a rule for automatically increasing the Monte Carlo sample size after iterations in which the true EM step is swamped by Monte Carlo error. In contrast, techniques for assessing Monte Carlo error have not been developed for use with alternative implementations of Monte Carlo EM algorithms utilizing Markov chain Monte Carlo E‐step approximations. Three different data sets, including the infamous salamander data of McCullagh and Nelder, are used to illustrate the techniques and to compare them with the alternatives. The results show that the methods proposed can be considerably more efficient than those based on Markov chain Monte Carlo algorithms. However, the methods proposed may break down when the intractable integrals in the likelihood function are of high dimension.

Suggested Citation

  • J. G. Booth & J. P. Hobert, 1999. "Maximizing generalized linear mixed model likelihoods with an automated Monte Carlo EM algorithm," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 265-285.
  • Handle: RePEc:bla:jorssb:v:61:y:1999:i:1:p:265-285
    DOI: 10.1111/1467-9868.00176
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