Monte Carlo EM with importance reweighting and its applications in random effects models
Computational Statistics & Data Analysis
Sampling from the posterior distribution in generalized linear mixed models
Statistics and Computing
Pointwise and functional approximations in Monte Carlo maximum likelihood estimation
Statistics and Computing
Deletion measures for generalized linear mixed effects models
Computational Statistics & Data Analysis
Simulation-based approach to estimation of latent variable models
Computational Statistics & Data Analysis
Analysis of longitudinal data with intermittent missing values using the stochastic EM algorithm
Computational Statistics & Data Analysis
Estimation in nonlinear mixed-effects models using heavy-tailed distributions
Statistics and Computing
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In recent years much effort has been devoted to maximum likelihood estimation of generalized linear mixed models. Most of the existing methods use the EM algorithm, with various techniques in handling the intractable E-step. In this paper, a new implementation of a stochastic approximation algorithm with Markov chain Monte Carlo method is investigated. The proposed algorithm is computationally straightforward and its convergence is guaranteed. A simulation and three real data sets, including the challenging salamander data, are used to illustrate the procedure and to compare it with some existing methods. The results indicate that the proposed algorithm is an attractive alternative for problems with a large number of random effects or with high dimensional intractable integrals in the likelihood function.