Variable selection in NLME or LME4
On Wed, 4 Nov 2009, Peter Flom wrote:
Good morning I am learning about NLME and LME4, using Pinheiro and Bates and other materials from Douglas Bates, but I have not seen anything on how to do variable selection sensibly in this type of model. In OLS regression, I frequently use the lasso, but googling did not reveal a method for lasso with mixed models. Most of the material I've seen on these packages is about models with very few potential IVs; but what if we have many? In the problem I am working on now, I have about 40 potential IVs, and a longitudinal DV with 4 time points. One idea might be to use lasso on an OLS model of the change score and use the variables selected in further exploration in LME4 or NLME, but that is just an idea, I have no real backing for it. Thanks in advance for any suggestions
Peter, This is rather trickier than model selection in fixed effects models. See the Vaida and Blanchard article on the _conditional AIC_ (Biometrika 2005 92(2):351-370; doi:10.1093/biomet/92.2.351)and articles that refer to it for more on this. HTH, Chuck
Peter Peter L. Flom, PhD Statistical Consultant Website: www DOT peterflomconsulting DOT com Writing; http://www.associatedcontent.com/user/582880/peter_flom.html Twitter: @peterflom
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Charles C. Berry (858) 534-2098
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