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Gauss-Hermite Quadrature Approximation for Estimation in Generalised Linear Mixed Models

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Summary

This paper provides a unified algorithm to explicitly calculate the maximum likelihood estimates of parameters in a general setting of generalised linear mixed models (GLMMs) in terms of Gauss-Hermite quadrature approximation. The score function and observed information matrix are expressed explicitly as analytically closed forms so that Newton-Raphson algorithm can be applied straightforwardly. Compared with some existing methods, this approach can produce more accurate estimates of the fixed effects and variance components in GLMMs, and can serve as a basis of assessing existing approximations in GLMMs. A simulation study and practical example analysis are provided to illustrate this point.

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This work was supported by a grant from Agriculture and Fisheries Department, Scottish Office. A substantial part of J. Pan’s work was conducted when he was in Rothamsted. We would like to thank the Editor and the two referees for helpful comments which improved the paper considerably.

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Pan, J., Thompson, R. Gauss-Hermite Quadrature Approximation for Estimation in Generalised Linear Mixed Models. Computational Statistics 18, 57–78 (2003). https://doi.org/10.1007/s001800300132

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