Estimating Random Effects via Adjustment for Density Maximization

Volume: 26, Issue: 2
Published: May 1, 2011
Abstract
We develop and evaluate point and interval estimates for the random effects θi, having made observations yi|θi ∼ind N[θi, Vi], i = 1, …, k that follow a two-level Normal hierarchical model. Fitting this model requires assessing the Level-2 variance A ≡ Var(θi) to estimate shrinkages Bi ≡ Vi / (Vi + A) toward a (possibly estimated) subspace, with Bi as the target because the conditional means and variances of θi depend linearly on Bi, not on A....
Paper Details
Title
Estimating Random Effects via Adjustment for Density Maximization
Published Date
May 1, 2011
Volume
26
Issue
2
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