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extracting gradient and hessian matrix from lme4

Ben Bolker · 2012-03-19T19:15:35Z

Joshua Wiley writes: > > Hi, > > I am trying to use a multivariate mixed effects linear model to > examine mediation. This works fine. The final step is to compute the > indirect effect and its standard error. The indirect effect is easy > (product of coefficients plus their covariance). For the standard > error, I need the gradient (D) and the hessian (H): > the variance is then: > > D'\Sigma(\theta)D + \frac{1}{2}Tr{(\mathbf{H}\boldsymbol{\Sigma}(\theta))^{2}} >

Ben Bolker

Mon, Mar 19, 2012 12:15 PM

Joshua Wiley <jwiley.psych at ...> writes:

If you're willing to try out the development version (i.e., lme4
from r-forge), I think you can do this as follows:

fm1 <- lmer(Reaction ~ Days + (Days|Subject), sleepstudy)
fm1Fun <- update(fm1,devFunOnly=TRUE)
library(numDeriv)
fm1_thpar <- getME(fm1,"theta")
h <- hessian(fm1Fun,fm1_thpar)

  and similarly for the gradient.

  Let me know how it goes.

  Ben Bolker

Thread (3 messages)

Joshua Wiley extracting gradient and hessian matrix from lme4 Mar 17 Ben Bolker extracting gradient and hessian matrix from lme4 Mar 19 Joshua Wiley extracting gradient and hessian matrix from lme4 Mar 30