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http://dx.doi.org/10.5351/KJAS.2015.28.2.281

Sparse Matrix Computation in Mixed Effects Model  

Son, Won (Department of Statistics, Seoul National University)
Park, Yong-Tae (Department of Industrial Engineering, Seoul National University)
Kim, Yu Kyeong (Department of Diagnostic Radiology, Seoul National University Hospital)
Lim, Johan (Department of Statistics, Seoul National University)
Publication Information
The Korean Journal of Applied Statistics / v.28, no.2, 2015 , pp. 281-288 More about this Journal
Abstract
In this paper, we study an approximate procedure to evaluate a penalized maximum likelihood estimator (MLE) for a mixed effects model. The procedure approximates the Hessian matrix of the penalized MLE with a structured sparse matrix or an arrowhead type matrix to speed its computation. In this paper, we numerically investigate the gain in computation time as well as approximation error from the considered approximation procedure.
Keywords
Arrow head type matrix; mixed effects model; penalized maximum likelihood estimator; sparse matrix;
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