Conditional covariance penalties for mixed models

The prediction error for mixed models can have a conditional or a marginal perspective depending on the research focus. We introduce a novel conditional version of the optimism theorem for mixed models linking the conditional prediction error to covariance penalties for mixed models. Different possibilities for estimating these conditional covariance penalties are introduced. These are bootstrap methods, cross‐validation, and a direct approach called Steinian. The behavior of the different estimation techniques is assessed in a simulation study for the binomial‐, the t‐, and the gamma distribution and for different kinds of prediction error. Furthermore, the impact of the estimation techniques on the prediction error is discussed based on an application to undernutrition in Zambia.