Affiliation:
1. Department of Economics and Statistics, University of Udine , Udine 33100 , Italy
Abstract
ABSTRACT
This paper proposes a novel likelihood-based boosting method for the selection of the random effects in linear mixed models. The nonconvexity of the objective function to minimize, which is the negative profile log-likelihood, requires the adoption of new solutions. In this respect, our optimization approach also employs the directions of negative curvature besides the usual Newton directions. A simulation study and a real-data application show the good performance of the proposal.
Funder
Università degli Studi di Udine
Publisher
Oxford University Press (OUP)
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