Mixed model

A mixed model, mixed-effects model or mixed error-component model is a statistical model containing both fixed effects and random effects.^[1]^[2] These models are useful in a wide variety of disciplines in the physical, biological and social sciences. They are particularly useful in settings where repeated measurements are made on the same statistical units (longitudinal study), or where measurements are made on clusters of related statistical units.^[2] Mixed models are often preferred over traditional analysis of variance regression models because of their flexibility in dealing with missing values and uneven spacing of repeated measurements. The Mixed model analysis allows measurements to be explicitly modeled in a wider variety of correlation and variance-covariance structures.

This page will discuss mainly linear mixed-effects models (LMEM) rather than generalized linear mixed models or nonlinear mixed-effects models. ^[3]

Qualitative Description

Linear mixed models (LMMs) are statistical models that incorporate fixed and random effects to accurately represent non-independent data structures. LMM is an alternative to analysis of variance. Often, ANOVA assumes the independence of observations within each group, however, this assumption may not hold in non-independent data, such as multilevel/hierarchical, longitudinal, or correlated datasets.

Non-independent sets are ones in which the variability between outcomes is due to correlations within groups or between groups. Mixed models properly account for nest^{[disambiguation needed]} structures/hierarchical data structures where observations are influenced by their nested associations. For example, when studying education methods involving multiple schools, there are multiple levels of variables to consider. The individual level/lower level is a level that comprises of individual students or teachers within the school. The observations obtained from this student/teacher is nested within their school. For example, Student A is a unit within the School A. The next higher level is the school. At the higher level, the school contains multiple individual students and teachers. The school level influences the observations obtained from the students and teachers. For Example, School A and School B are the higher levels each with its set of Student A and Student B respectively. This represents a hierarchical data scheme. A solution to modeling hierarchical data is using linear mixed models.

LMMs allow us to understand the important effects between and within levels while incorporating the corrections for standard errors for non-independence embedded in the data structure.^[3]^[4]

The Fixed Effect

Fixed effects encapsulate the tendencies/trends that are consistent at the levels of primary interest. These effects are considered fixed because they are non-random and assumed to be constant for the population being studied. For example, when studying education a fixed effect could represent overall school level effects that are consistent across all schools.

While the hierarchy of the data set is typically obvious, the specific fixed effects that affect the average responses for all subjects must be specified. Some fixed effect coefficients are sufficient without corresponding random effects where as other fixed coefficients only represent an average where the individual units are random. These may be determined by incorporating random intercepts and slopes.^[5] ^[6] ^[7]

In most situations, several related models are considered and the model that best represents a universal model is adopted.

The Random Effect, ε

A key component of the mixed model is the incorporation of random effects with the fixed effect. Fixed effects are often fitted to represent the underlying model. In Linear mixed models, the true regression of the population is linear, β. The fixed data is fitted at the highest level. Random effects introduce the variability at different levels of the data hierarchy. These account for the unmeasured sources of variance that affect certain groups in the data. For example, the differences between student 1 and student 2 in the same class, or the differences between class 1 and class 2 in the same school. ^[5]^[6]^[7]

History and current status

Ronald Fisher introduced random effects models to study the correlations of trait values between relatives.^[8] In the 1950s, Charles Roy Henderson provided best linear unbiased estimates of fixed effects and best linear unbiased predictions of random effects.^[9]^[10]^[11]^[12] Subsequently, mixed modeling has become a major area of statistical research, including work on computation of maximum likelihood estimates, non-linear mixed effects models, missing data in mixed effects models, and Bayesian estimation of mixed effects models. Mixed models are applied in many disciplines where multiple correlated measurements are made on each unit of interest. They are prominently used in research involving human and animal subjects in fields ranging from genetics to marketing, and have also been used in baseball^[13] and industrial statistics.^[14]

Definition

In matrix notation a linear mixed model can be represented as

{\boldsymbol {y}}=X{\boldsymbol {\beta }}+Z{\boldsymbol {u}}+{\boldsymbol {\epsilon }}

where

${\boldsymbol {y}}$ is a known vector of observations, with mean $E({\boldsymbol {y}})=X{\boldsymbol {\beta }}$ ;
${\boldsymbol {\beta }}$ is an unknown vector of fixed effects;
${\boldsymbol {u}}$ is an unknown vector of random effects, with mean $E({\boldsymbol {u}})={\boldsymbol {0}}$ and variance–covariance matrix $\operatorname {var} ({\boldsymbol {u}})=G$ ;
${\boldsymbol {\epsilon }}$ is an unknown vector of random errors, with mean $E({\boldsymbol {\epsilon }})={\boldsymbol {0}}$ and variance $\operatorname {var} ({\boldsymbol {\epsilon }})=R$ ;
$X$ is the known design matrix for the fixed effects relating the observations ${\boldsymbol {y}}$ to ${\boldsymbol {\beta }}$ , respectively
$Z$ is the known design matrix for the random effects relating the observations ${\boldsymbol {y}}$ to ${\boldsymbol {u}}$ , respectively.

Estimation

The joint density of ${\boldsymbol {y}}$ and ${\boldsymbol {u}}$ can be written as: $f({\boldsymbol {y}},{\boldsymbol {u}})=f({\boldsymbol {y}}|{\boldsymbol {u}})\,f({\boldsymbol {u}})$ . Assuming normality, ${\boldsymbol {u}}\sim {\mathcal {N}}({\boldsymbol {0}},G)$ , ${\boldsymbol {\epsilon }}\sim {\mathcal {N}}({\boldsymbol {0}},R)$ and $\mathrm {Cov} ({\boldsymbol {u}},{\boldsymbol {\epsilon }})={\boldsymbol {0}}$ , and maximizing the joint density over ${\boldsymbol {\beta }}$ and ${\boldsymbol {u}}$ , gives Henderson's "mixed model equations" (MME) for linear mixed models:^[9]^[11]^[15]

{\begin{pmatrix}X'R^{-1}X&X'R^{-1}Z\\Z'R^{-1}X&Z'R^{-1}Z+G^{-1}\end{pmatrix}}{\begin{pmatrix}{\hat {\boldsymbol {\beta }}}\\{\hat {\boldsymbol {u}}}\end{pmatrix}}={\begin{pmatrix}X'R^{-1}{\boldsymbol {y}}\\Z'R^{-1}{\boldsymbol {y}}\end{pmatrix}}

The solutions to the MME, $\textstyle {\hat {\boldsymbol {\beta }}}$ and $\textstyle {\hat {\boldsymbol {u}}}$ are best linear unbiased estimates and predictors for ${\boldsymbol {\beta }}$ and ${\boldsymbol {u}}$ , respectively. This is a consequence of the Gauss–Markov theorem when the conditional variance of the outcome is not scalable to the identity matrix. When the conditional variance is known, then the inverse variance weighted least squares estimate is best linear unbiased estimates. However, the conditional variance is rarely, if ever, known. So it is desirable to jointly estimate the variance and weighted parameter estimates when solving MMEs.

One method used to fit such mixed models is that of the expectation–maximization algorithm (EM) where the variance components are treated as unobserved nuisance parameters in the joint likelihood.^[16] Currently, this is the method implemented in statistical software such as Python (statsmodels package) and SAS (proc mixed), and as initial step only in R's nlme package lme(). The solution to the mixed model equations is a maximum likelihood estimate when the distribution of the errors is normal.^[17]^[18]

Fixed, mixed, and random effects influence linear regression models.

There are several other methods to fit mixed models, including using an MEM initially, and then Newton-Raphson (used by R package nlme^[19]'s lme()), penalized least squares to get a profiled log likelihood only depending on the (low-dimensional) variance-covariance parameters of ${\boldsymbol {u}}$ , i.e., its cov matrix ${\boldsymbol {G}}$ , and then modern direct optimization for that reduced objective function (used by R's lme4^[20] package lmer() and the Julia package MixedModels.jl) and direct optimization of the likelihood (used by e.g. R's glmmTMB). Notably, while the canonical form proposed by Henderson is useful for theory, many popular software packages use a different formulation for numerical computation in order to take advantage of sparse matrix methods (e.g. lme4 and MixedModels.jl).

References

^ Baltagi, Badi H. (2008). Econometric Analysis of Panel Data (Fourth ed.). New York: Wiley. pp. 54–55. ISBN 978-0-470-51886-1.
^ ^a ^b Gomes, Dylan G.E. (20 January 2022). "Should I use fixed effects or random effects when I have fewer than five levels of a grouping factor in a mixed-effects model?". PeerJ. 10: e12794. doi:10.7717/peerj.12794. PMC 8784019. PMID 35116198.
^ ^a ^b Seltman, Howard (2016). Experimental Design and Analysis. Vol. 1. pp. 357–378.
^ Introduction to SAS., UCLA:Statistical Consulting Group. "Introduction to Linear Mixed Models".
^ ^a ^b Kreft & de Leeuw, J. Introducing multilevel modeling. London:Sage.{{cite book}}: CS1 maint: publisher location (link)
^ ^a ^b Raudenbush,Bryk, S.W,A.S (2002). Hierarchical Linear Models: Applications and Data Analysis Methods. Thousand Oaks,CA: Sage.{{cite book}}: CS1 maint: multiple names: authors list (link)
^ ^a ^b Snijders,Bosker, T.A.B, R.J (2012). Multilevel analysis: An introduction to basic and advanced multilevel modeling. Vol. 2nd edition. London:Sage.{{cite book}}: CS1 maint: multiple names: authors list (link) CS1 maint: publisher location (link)
^ Fisher, RA (1918). "The correlation between relatives on the supposition of Mendelian inheritance". Transactions of the Royal Society of Edinburgh. 52 (2): 399–433. doi:10.1017/S0080456800012163. S2CID 181213898.
^ ^a ^b Robinson, G.K. (1991). "That BLUP is a Good Thing: The Estimation of Random Effects". Statistical Science. 6 (1): 15–32. doi:10.1214/ss/1177011926. JSTOR 2245695.
^ C. R. Henderson; Oscar Kempthorne; S. R. Searle; C. M. von Krosigk (1959). "The Estimation of Environmental and Genetic Trends from Records Subject to Culling". Biometrics. 15 (2). International Biometric Society: 192–218. doi:10.2307/2527669. JSTOR 2527669.
^ ^a ^b L. Dale Van Vleck. "Charles Roy Henderson, April 1, 1911 – March 14, 1989" (PDF). United States National Academy of Sciences.
^ McLean, Robert A.; Sanders, William L.; Stroup, Walter W. (1991). "A Unified Approach to Mixed Linear Models". The American Statistician. 45 (1). American Statistical Association: 54–64. doi:10.2307/2685241. JSTOR 2685241.
^ analytics guru and mixed model
^ Mixed models in industry
^ Henderson, C R (1973). "Sire evaluation and genetic trends" (PDF). Journal of Animal Science. 1973. American Society of Animal Science: 10–41. doi:10.1093/ansci/1973.Symposium.10. Retrieved 17 August 2014.
^ Lindstrom, ML; Bates, DM (1988). "Newton–Raphson and EM algorithms for linear mixed-effects models for repeated-measures data". Journal of the American Statistical Association. 83 (404): 1014–1021. doi:10.1080/01621459.1988.10478693.
^ Laird, Nan M.; Ware, James H. (1982). "Random-Effects Models for Longitudinal Data". Biometrics. 38 (4). International Biometric Society: 963–974. doi:10.2307/2529876. JSTOR 2529876. PMID 7168798.
^ Fitzmaurice, Garrett M.; Laird, Nan M.; Ware, James H. (2004). Applied Longitudinal Analysis. John Wiley & Sons. pp. 326–328.
^ Pinheiro, J; Bates, DM (2006). Mixed-effects models in S and S-PLUS. Statistics and Computing. New York: Springer Science & Business Media. doi:10.1007/b98882. ISBN 0-387-98957-9.
^ Bates, D.; Maechler, M.; Bolker, B.; Walker, S. (2015). "Fitting Linear Mixed-Effects Models Using lme4". Journal of Statistical Software. 67 (1). doi:10.18637/jss.v067.i01.