RHNERM {rhnerm} | R Documentation |
Calculates the maximum likelihood estimates of the model parameters in random heteroscedastic nested error regression models. The empirical Bayes estimates of area-level parameters with random effects are also given.
RHNERM(y, X, ni, C, maxr=100)
y |
N*1 vector of response values. |
X |
N*p matrix containing N*1 vector of 1 in the first column and vectors of covariates in the rest of columns. |
ni |
m*1 vector of sample sizes in each area. |
C |
m*p matrix of area-level covariates included in the area-level parameters. |
maxr |
maximum number of iteration for computing the maximum likelihood estimates. |
The function returns a list with the following objects:
MLE |
(p+3)*1 vector of maximum likelihood estimates of the model parameters. |
EB |
m*1 vector of empirical Bayes estimates of the area-level parameters. |
Shonosuke Sugasawa
Kubokawa, K., Sugasawa, S., Ghosh, M. and Chaudhuri, S. (2016). Prediction in Heteroscedastic nested error regression models with random dispersions. Statistica Sinica, 26, 465-492.
#generate data set.seed(1234) beta=c(1,1); la=1; tau=c(8,4) m=20; ni=rep(3,m); N=sum(ni) X=cbind(rep(1,N),rnorm(N)) mu=beta[1]+beta[2]*X[,2] sig=1/rgamma(m,tau[1]/2,tau[2]/2); v=rnorm(m,0,sqrt(la*sig)) y=c() cum=c(0,cumsum(ni)) for(i in 1:m){ term=(cum[i]+1):cum[i+1] y[term]=mu[term]+v[i]+rnorm(ni[i],0,sqrt(sig[i])) } #fit the random heteroscedastic nested error regression C=cbind(rep(1,m),rnorm(m)) fit=RHNERM(y,X,ni,C) fit