Estimation in Dirichlet random effects models
Minjung Kyung, Jeff Gill, George Casella
The Annals of Statistics · 2010 · Volume 38 · Issue 2
Abstract
We develop a new Gibbs sampler for a linear mixed model with a Dirichlet process random effect term, which is easily extended to a generalized linear mixed model with a probit link function. Our Gibbs sampler exploits the properties of the multinomial and Dirichlet distributions, and is shown to be an improvement, in terms of operator norm and efficiency, over other commonly used MCMC algorithms. We also investigate methods for the estimation of the precision parameter of the Dirichlet process, finding that maximum likelihood may not be desirable, but a posterior mode is a reasonable approach. Examples are given to show how these models perform on real data. Our results complement both the theoretical basis of the Dirichlet process nonparametric prior and the computational work that has been done to date.
Keywords
62F99, 62G99, 62P25, Bayes estimation, generalized linear mixed models, Gibbs sampling, hierarchical models, linear mixed models
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