Comments (2)
@fboehm, there is a chance you can just feed the transpose of your data into functions and read off the estimates.
In your model, Y
is n x d
, X
is nd x pd
, B
is pd x 1
, Sigma1, Sigma2
are n x n
, and V1
, V2
are d x d
. You assume
vec(Y) ~ N(XB, Sigma1 \otimes V1 + \Sigma2 \otimes V2)
.
Let Kdn
be the nd x nd
commutation matrix
https://en.wikipedia.org/wiki/Commutation_matrix
Then
vec(Y') = Knd vec(Y) ~ N(Knd X B, Knd (Sigma1 \otimes V1 + Sigma2 \otimes V2) Knd') = N(Knd X B, V1 \otimes Sigma1 + V2 \otimes Sigma2)
.
So feeding the transformed data Y'
, Knd X
, Sigma1
, Sigma2
into functions, you may read off the estimates of V1
, V2
directly. The catch is current functions assume the mean structure vec(XB)
. Is there any structure in your X
matrix? Or if the primary interest is estimating V1
, V2
, you can use REML: first obtain residuals from ordinary least squares then fit the variance component model using just residuals. If none of these apply, it's also straightforward modify current functions to accommodate your X
.
from variancecomponentmodels.jl.
Thanks, @Hua-Zhou! Your explanation is very helpful. I think that I can proceed based on your detailed reply. Thanks again!
from variancecomponentmodels.jl.
Related Issues (13)
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from variancecomponentmodels.jl.