[email protected] wrote: > You need to give your criteria for "preferable". For normal-linear > models, REML estimates of variances are unbiased, whereas ML estimates are > downwardly biased.
I suspect that you can't actually say anything general about the direction of the bias, except for the residual term. In the cases that can be analyzed explicitly, variance estimates are complicated linear combinations of sums of squares, and if those are not biased by the same relative amount, the net result could conceivably be a positive bias. I could be wrong though. > 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. > -- O__ ---- Peter Dalgaard Øster Farimagsgade 5, Entr.B c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - ([email protected]) FAX: (+45) 35327907 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
