arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1708.04887stat.MEcs.LGmath.STstat.MLstat.TH
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高维线性混合模型中的固定效应检验

Fixed effects testing in high-dimensional linear mixed models

University of California San Diego(加州大学圣迭戈分校);KU Leuven(鲁汶大学)

Jelena Bradic, Gerda Claeskens, Thomas Gueuning

摘要:

许多科学和工程挑战-从药代动力学药物剂量分配和个性化药物到营销组合(4Ps)建议-需要了解未观察到的异质性,以便制定最佳决策过程。在本文中,我们开发了一个假设检验和相应的p值检验的齐次结构的显着性线性混合模型。一个强大的匹配矩构造用于创建一个测试,适应模型稀疏的大小。当未观察到的异质性在集群水平是恒定的,我们表明,我们的测试是一致的和无偏的,即使当模型的维度是非常高的。我们的理论结果依赖于一个新的家庭的自适应稀疏估计的固定效应,不需要一致的估计的随机效应。此外,我们的推理结果不需要一致的模型选择。我们展示了矩匹配可以扩展到非线性混合效应模型和广义线性混合效应模型。在数值和真实数据实验中,我们发现所开发的方法是非常准确的,它适应于基础模型的大小,并且在存在不相关协变量的情况下是非常强大的。

英文摘要:

Many scientific and engineering challenges -- ranging from pharmacokinetic drug dosage allocation and personalized medicine to marketing mix (4Ps) recommendations -- require an understanding of the unobserved heterogeneity in order to develop the best decision making-processes. In this paper, we develop a hypothesis test and the corresponding p-value for testing for the significance of the homogeneous structure in linear mixed models. A robust matching moment construction is used for creating a test that adapts to the size of the model sparsity. When unobserved heterogeneity at a cluster level is constant, we show that our test is both consistent and unbiased even when the dimension of the model is extremely high. Our theoretical results rely on a new family of adaptive sparse estimators of the fixed effects that do not require consistent estimation of the random effects. Moreover, our inference results do not require consistent model selection. We showcase that moment matching can be extended to nonlinear mixed effects models and to generalized linear mixed effects models. In numerical and real data experiments, we find that the developed method is extremely accurate, that it adapts to the size of the underlying model and is decidedly powerful in the presence of irrelevant covariates.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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