On a real data set, running the lme function, I get parameters estimation and a log-likelihood value. Nevertheless, the variance-covariance matrix in this case had a determinant close to zero. So, I could not calculate the log-likelihood myself with the classical expression. What is the calculus made in lme? Thanks for all suggestions. Tessa P-J (student)
Log-likelihood calculation in lme
2 messages · PIERRE-JOSEPH tessa, Douglas Bates
PIERRE-JOSEPH tessa wrote:
On a real data set, running the lme function, I get parameters estimation and a log-likelihood value. Nevertheless, the variance-covariance matrix in this case had a determinant close to zero. So, I could not calculate the log-likelihood myself with the classical expression. What is the calculus made in lme?
The evaluation of the log-likelihood used in lme is documented in chapter 2 of Pinheiro and Bates (Springer, 2000). The calculation used in lmer from the lme4 package is somewhat different. If you wish I can send you off-list copies of slides from a presentation that explains that calculation. I'm not sure which variance-covariance matrix you are referring to but it is the case that the ML or REML estimates of the variance-covariance matrix of the random effects can be singular, a fact that is often ignored in the analysis of data with such models.