On 7/15/06, Douglas Bates <[EMAIL PROTECTED]> wrote: > Hi Spencer, [....] > <rant> > Some software, notably SAS PROC MIXED, does produce standard errors > for the estimates of variances and covariances of random effects. In > my opinion this is more harmful than helpful. The only use I can > imagine for such standard errors is to form confidence intervals or to > evaluate a z-statistic or something like that to be used in a > hypothesis test. However, those uses require that the distribution of > the parameter estimate be symmetric, or at least approximately > symmetric, and we know that the distribution of the estimate of a > variance component is more like a scaled chi-squared distribution > which is anything but symmetric.
You should add ..."when the true value of the variance is (close to) zero", I guess. Or does not standard asymptotic ML theory apply to these models? BTW, what is a "scaled chi-squared distribution"? Göran ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
