Sankhya: The Indian Journal of Statistics

2003, Volume 65, Pt. 1, 23--42

Consistent Procedures For Mixed Linear Model Selection


Jiming Jiang, University Of California, Davis, Usa And

J. Sunil Rao, Case Western  Reserve University, Cleveland, Usa

SUMMARY. We consider the problem of selecting the fixed and random effects in a mixed linear model. Two kinds of  selection problems are considered. The first is to select the fixed covariates from a set of candidate predictors when the random effects are not subject to selection; the second is to select both the fixed covariates and the random effect factors. Our selection criteria are similar to the generalized information criterion (GIC), but we show that a naive GIC does not work for the second kind of selection problem. Asymptotic theory is developed in which we give sufficient conditions for consistency of the selection criteria proposed. Finite sample performance of the selection procedures are investigated by simulation studies.

AMS (1991) subject classification}. 62J05.

Key words and phrases. Consistency, mixed effects models, model selection.

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