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Model averaging and weight choice in linear mixed-effects models. (English) Zbl 1285.62077

Summary: This article studies model averaging for linear mixed-effects models. We establish an unbiased estimator of the squared risk for the model averaging, and use the estimator as a criterion for choosing the weights. The resulting model average estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments show it is superior or comparable to estimators based on the final models selected by the commonly-used methods and some existing averaging procedures. The proposed procedure is applied to data from an AIDS clinic trial.

MSC:

62J05 Linear regression; mixed models
62F12 Asymptotic properties of parametric estimators
62H12 Estimation in multivariate analysis
65C60 Computational problems in statistics (MSC2010)
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