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Martin Maechler

Publications and source records attributed to Martin Maechler.

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Fitting Generalized Linear Mixed-Effects Models using lme4

The lme4 R package can be used to fit generalized linear mixed models (GLMMs), which extend the class of linear mixed models (LMMs). The two main extensions provided by GLMMs are (1) allowing for the conditional distribution of the response given the random effects to be non-Gaussian (e.g. binomial, Poisson) and (2) allowing the conditional mean to be a nonlinear function of a linear combination of the fixed and random effect coefficients, via an inverse link function. The conditional mode of the random effects given the observed data, the variance-covariance matrix of the random effects, and the fixed effect parameters are determined using penalized iteratively reweighted least squares. We compute an approximation of the integral over the distributions of the conditional modes to compute the maximum likelihood estimate for a given set of parameters (by default we use the Laplace approximation or, alternatively, the more computationally expensive adaptive Gauss-Hermite quadrature). The package provides all the standard features available for GLMs in base R, including the standard set of accessor functions as well as the possibility of user-specified distributions (within the exponential dispersion family) and link functions.

stat.ME

Estimators for Archimedean copulas in high dimensions

The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions and numerical difficulties. In particular, method-of-moments-like estimators based on pairwise Kendall's tau, a multivariate extension of Blomqvist's beta, minimum distance estimators, the maximum-likelihood estimator, a simulated maximum-likelihood estimator, and a maximum-likelihood estimator based on the copula diagonal are studied. Their performance is compared in a large-scale simulation study both under known and unknown margins (pseudo-observations), in small and high dimensions, under small and large dependencies, various different Archimedean families and sample sizes. High dimensions up to one hundred are considered for the first time and computational problems arising from such large dimensions are addressed in detail. All methods are implemented in the open source \R{} package \pkg{copula} and can thus be easily accessed and studied.

stat.CO