Your question is well taken. I did not give any criteria because I realized
there might be different answers based upon different criteria. Certainly one
fundamental criteria would be that the estimates are BLUE, but this is not the
only criteria one might be used.
John
-----Original Message-----
From: <jlu...@ria.buffalo.edu>
To: John Sorkin <jsor...@grecc.umaryland.edu>
Cc: <r-help@r-project.org>
To: <r-help-boun...@r-project.org>
Sent: 12/8/2009 9:39:28 AM
Subject: Re: [R] lm: RME vs. ML
You need to give your criteria for "preferable". For normal-linear
models, REML estimates of variances are unbiased, whereas ML estimates are
downwardly biased. My intuition is that the ML-induced bias would be
worse in small samples. I don't know about other distributions. Likewise I
don't know about MSE or other criterion for preference.
"John Sorkin" <jsor...@grecc.umaryland.edu>
Sent by: r-help-boun...@r-project.org
12/07/2009 09:24 PM
To
<r-help@r-project.org>
cc
Subject
[R] lm: RME vs. ML
windows XP
R 2.10
As pointed out by Prof. Venables and Ripley (MASS 4th edition, p275), the
results obtained from lme using method="ML" and method="REML" are often
different, especially for small datasets. Is there any way to determine
which method is preferable for a given set of data?
Thanks,
john
John David Sorkin M.D., Ph.D.
Chief, Biostatistics and Informatics
University of Maryland School of Medicine Division of Gerontology
Baltimore VA Medical Center
10 North Greene Street
GRECC (BT/18/GR)
Baltimore, MD 21201-1524
(Phone) 410-605-7119
(Fax) 410-605-7913 (Please call phone number above prior to faxing)
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