A Monte Carlo EM algorithm for generalized linear mixed models with flexible random effects distribution

Abstract

A popular way to represent clustered binary, count, or other data is via the generalized linear mixed model framework, which accommodates correlation through incorporation of random effects. A standard assumption is that the random effects follow a parametric family such as the normal distribution; however, this may be unrealistic or too restrictive to represent the data. We relax this assumption and require only that the distribution of random effects belong to a class of 'smooth' densities and approximate the density by the seminonparametric (SNP) approach of Gallant and Nychka (1987). This representation allows the density to be skewed, multi-modal, fat- or thin-tailed relative to the normal and includes the normal as a special case. Because an efficient algorithm to sample from an SNP density is available, we propose a Monte Carlo EM algorithm using a rejection sampling scheme to estimate the fixed parameters of the linear predictor, variance components and the SNP density. The approach is illustrated by application to a data set and via simulation.