A contrarian point of view: If you have so little data (relative to the number of parameters to be estimated, especially NONLINEAR parameters like covariance estimates)that the ml vs reml bias could be large, then there's so little information anyway that such bias is the least of your problems (identifiability probably is a major issue-- mis-shapen confidence regions).
Ergo, worrying about df (ml vs reml) is just a silly obsession of statisticians (of which I'm one). Criticisms, public or private, welcome of course. This is my view only and should not be considered a stain on my employer -- other than its misfortune in employing me. Bert Gunter Genentech Nonclinical Biostatistics -----Original Message----- From: [email protected] [mailto:[email protected]] On Behalf Of John Sorkin Sent: Tuesday, December 08, 2009 7:12 AM To: [email protected]; [email protected] Cc: [email protected] Subject: Re: [R] lm: RME vs. ML 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: <[email protected]> To: John Sorkin <[email protected]> Cc: <[email protected]> To: <[email protected]> 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" <[email protected]> Sent by: [email protected] 12/07/2009 09:24 PM To <[email protected]> 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) Confidentiality Statement: This email message, including any attachments, is for th...{{dropped:8}} ______________________________________________ [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.
