Efficient estimation of moments in linear mixed models

Details Efficient estimation of moments in linear mixed models Efficient estimation of moments in linear mixed models

2012-03-02

arxiv.org/abs/1203.0431v1

Bernoulli 2012, Vol. 18, No. 1, 206-228

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ330 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ330

In the linear random effects model, when distributional assumptions such as normality of the error variables cannot be justified, moments may serve as alternatives to describe relevant distributions in neighborhoods of their means. Generally, estimators may be obtained as solutions of estimating equations. It turns out that there may be several equations, each of them leading to consistent estimators, in which case finding the efficient estimator becomes a crucial problem. In this paper, we systematically study estimation of moments of the errors and random effects in linear mixed models.

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