about: GLMM for continuous response
Dear Sir, I am a Phd student working on GLMM implementation for continuous response of insurance claim size. I have some problems to implement GLMM in R. I would be very glad if you could answer. Response variable y_ij: jth claim amount of individual i. People can have just one claim or more than one claim (max. claim number is 136. so j=1,2,...,136). There are 22 000 individuals in the sample. Explanatory variables are (fixed effects): claim number in one year (integer), age(integer), gender (0-1,factor), provience (0-6,factor), package (0-3,factor), marital status (0-1,factor). *I use only random intercept as random effect. I am using R 3.0.3, MASS, lme4,nlme and lm4.0 packages. My questions are: 1- I use GLMMPQL (MASS package) that generally converges. But laplace and quadrature never converges. I did not understand the reason. What can be the reason? While implementing GLMM are the individuals that have just one claim problem for model convergence? note: gamma glm, log transform and linear mixed model, gamma GEE all converges. 2- I simulated gamma distributed response variable and used a few covariates to test convergence error. Laplace converges, Quadrature does not converge again. While PQL gives 0.2632854 for standard deviation of random intercept, glmer (laplace) gives std. dev 1028.16. Why is so huge difference between two methods? 3- GLMMPQL converges with all explanatory variables. Province and gender are not significant. When I exclude only province GLMMPQL does not converge. But when I exclude gender and both province+gender it converges. Why is this contradiction? 4- I could not see any paper on GLMM applications for continuous response. I am afraid of doing something wrong but I ca not find any reference. Can you give me any references to understand detail of GLMM implementation for continuous response and general idea for implementation of GLMM. 5- I do not want to make logarithmic transform and fit linear mixed models, I want to use data on original scale. Do you offer any other distribution exempt gamma GLMM? I appreciate any help. Thank you very much. Best wishes, Aslihan
Aslihan Senturk Acar Research Assistant Hacettepe University Department of Actuarial Sciences Beytepe, Ankara 08600 Phone: (+90) 312 297 6160 / 119 Email: aslihans at hacettepe.edu.tr