In this paper we examine maximum likelihood estimation procedures in multilevel models for two level nesting structures. Usually, for fixed effects and variance components estimation, level-one error terms and random effects are assumed to be normally distributed. Nevertheless, in some circumstances this assumption might not be realistic, especially as concerns random effects. Thus we assume for random effects the family of multivariate exponential power distributions (MEP); subsequently, by means of Monte Carlo simulation procedures, we study robustness of maximum likelihood estimators under normal assumption when, actually, random effects are MEP distributed. © Springer-Verlag 2007.

Solaro, N., & Ferrari, P. (2007). Robustness of parameter estimation procedures in multilevel models when random effects are MEP distributed. STATISTICAL METHODS & APPLICATIONS, 16(1), 51-67 [10.1007/s10260-006-0016-6].

Robustness of parameter estimation procedures in multilevel models when random effects are MEP distributed

SOLARO, NADIA;
2007

Abstract

In this paper we examine maximum likelihood estimation procedures in multilevel models for two level nesting structures. Usually, for fixed effects and variance components estimation, level-one error terms and random effects are assumed to be normally distributed. Nevertheless, in some circumstances this assumption might not be realistic, especially as concerns random effects. Thus we assume for random effects the family of multivariate exponential power distributions (MEP); subsequently, by means of Monte Carlo simulation procedures, we study robustness of maximum likelihood estimators under normal assumption when, actually, random effects are MEP distributed. © Springer-Verlag 2007.
Articolo in rivista - Articolo scientifico
Hierarchical data, ML and REML estimation, Multivariate exponential power distribution
English
Solaro, N., & Ferrari, P. (2007). Robustness of parameter estimation procedures in multilevel models when random effects are MEP distributed. STATISTICAL METHODS & APPLICATIONS, 16(1), 51-67 [10.1007/s10260-006-0016-6].
Solaro, N; Ferrari, P
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/2596
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