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A Gaussian linear mixed model combines fixed effects, random effects with a normal distribution, and independent Gaussian noise. For $b\sim N(0,D)$ and $\epsilon \sim N(0,R)$ independently, its marginal distribution is $Y\sim N(X\beta ,V)$ with $V=ZD{Z}^T+R$. The random effects induce dependence among observations sharing their design columns. A random-intercept linear mixed model and a random-slope linear mixed model are special cases.

A statistical model combining fixed effects with random effects. The grouping structure determines the correlations represented by the model.

Index chocolate by $a\in \{A,B,C,D\}$, day by $d$ in the three observed categories, and replicate by $r\in \{1,2\}$. The additive two-factor normal linear model isHere $Y_{adr}$ is the board count, $\mu$ is the mean for the reference chocolate and reference day, and ${\alpha }_a,{\gamma }_d$ are chocolate and day fixed effects. With corner-point constraints, set ${\alpha }_A=0$ and ${\gamma }_{d_0}=0$, where $d_0$ is the first level in the day factor. The printed coefficient-free output does not determine that factor ordering; the model is unchanged by a different reference category. There is no chocolate–day interaction term in this fit. The six free mean statistical parameters consist of one baseline, three chocolate contrasts and two day contrasts; the common error variance supplies a further statistical parameter.

Test $H_0:{\gamma }_d=0$ for both nonreference days, against at least one nonzero day fixed effect, conditional on chocolate. There are two added regression coefficients and $24-6=18$ residual statistical degrees of freedom. The nested-model F-test statistic isUnder $H_0$ and the normal linear model assumptions, $F\sim F_{2,18}$. Its 5% upper critical value is $3.555$, so do not reject the absence of day effects; the p-value is approximately $0.456$. Thus the missing row has two statistical degrees of freedom, mean square $4.875$, and the F-test value above. These observations do not provide evidence that including day improves the chocolate-adjusted mean model. They do not prove that every possible day effect or chocolate–day interaction term is absent.

For subject $i=1,\dots ,100$ and $t_j\in \{0,2,4,6,8,10\}$, the random-intercept linear mixed model isAll subject random effects and measurement errors are mutually independent. The fixed effects ${\beta }_0,{\beta }_1$ describe the population mean baseline and weekly gain. Conditional on $b_i$, a person's observations have independent normal distributions; after integrating out $b_i$, their covariance is ${\tau }^2$ at distinct weeks and their common variance is ${\tau }^2+{\sigma }^2$. Therefore their correlation is ${\tau }^2/({\tau }^2+{\sigma }^2)$.

This Gaussian linear mixed model permits correlated repeated readings while keeping different subjects independent. The fitted standard deviations are $\hat{\tau }=21.67593$ kg and $\hat{\sigma }=14.23496$ kg, giving within-person correlation about $0.699$. All persons still have the same latent weekly slope in this model.

Allow each subject to have a separate baseline and slope through a correlated random-intercept and random-slope model:The subject random effects are independent of all measurement errors, and subjects are independent. The within-person covariance between times $s,t$ is ${\tau }_0^2+(s+t)\rho {\tau }_0{\tau }_1+st{\tau }_1^2$, with an additional ${\sigma }^2$ when the same reading is used twice.

Prefer the model with a random slope. The maximum likelihood estimation refits improve twice the log-likelihood by $227.9604$ while adding two covariance statistical parameters. Both the Akaike information criterion ($5165.779$ to $4941.819$) and Bayesian information criterion ($5183.367$ to $4968.200$) strongly favour it. The printed nominal likelihood-ratio test is overwhelming. The usual reference chi-squared distribution with two statistical degrees of freedom is not an exact regular calibration, since zero slope variance is a boundary and the intercept–slope correlation is then unidentified; a design-specific parametric bootstrap could calibrate it. This qualification does not undermine the substantial descriptive improvement shown by both information criteria.

The preferred fit estimates population mean baseline strength ${\hat{\beta }}_0=61.09286$ kg and weekly gain ${\hat{\beta }}_1=2.83143$ kg/week. The between-person baseline standard deviation is ${\hat{\tau }}_0=15.785582$ kg, and the between-person slope standard deviation is ${\hat{\tau }}_1=2.738666$ kg/week. Their estimated correlation $\hat{\rho }=0.117$ is weakly positive, giving random-effect covariance about $5.058$ kg${}^2$/week; its uncertainty is not supplied. The measurement-error standard deviation is $\hat{\sigma }=9.923280$ kg. The printed $-0.038$ instead describes the correlation between the estimated fixed effects, not between the subject random effects. These statistical parameter estimates come from restricted maximum likelihood; the model comparison uses the separate maximum likelihood estimation fits.

The population mean fitted trajectory is $61.09286+2.83143t$ kg. HenceUsing the reported slope standard error, an approximate 95% confidence interval for the population mean gain is $28.3143\pm 1.96(2.984464)=(22.46,34.16)$ kg; a Student t confidence interval with 499 statistical degrees of freedom is almost identical.

Successful individuals can improve far more than the average. Their latent ten-week gains have fitted normal distributionA clear estimate for an upper-performing group uses a between-person slope quantile: the 95th percentile is $28.3143+1.645(27.38666)\simeq 73.4$ kg, and the 97.5th percentile is about $82.0$ kg. The upper 5% of fitted underlying gains begin around 73 kg. These are person-to-person performance quantiles, not confidence intervals for the population mean. Identifying the best observed trainee would require that person's data or fitted subject random effects; the aggregate output cannot identify a literal maximum. If performance means the observed difference of endpoint readings, add the measurement-error variance $2{\sigma }^2$ to the latent gain variance.

The restricted maximum likelihood procedure estimates covariance parameters from error contrasts that remove the unknown fixed effects. Let $X$ have rank $p$ and choose an $n\times (n-p)$ full-rank matrix $A$ with $A^{T}X=0$. Then $A^{T}Y\sim N(0,A^{T}V(\vartheta )A)$ has a likelihood involving the variance parameters $\vartheta$ but not $\beta$. Maximizing that likelihood is restricted maximum likelihood. An equivalent restricted likelihood from orthogonal error contrasts, up to terms independent of $\vartheta$, iswhereAfter estimating $\vartheta$, use generalized least squares for $\hat{\beta }=(X^T{\hat{V}}^{-1}X{)}^{-1}{X}^T{\hat{V}}^{-1}Y$ and the conditional modes from part (b). In an independent-error normal linear model, this covariance procedure reduces to estimating ${\sigma }^2$ by $\mathrm{RSS}/(n-p)$ instead of $\mathrm{RSS}/n$.

The two models being compared have different fixed-effect spaces, so their error contrasts, dimensions, and restricted likelihoods differ. Their REML values are not likelihoods of the same transformed data and must not be used directly for this fixed-effect likelihood-ratio test. Refit both with ordinary maximum likelihood, integrating out the random effects but retaining the original response vector, and maximize each model's marginal likelihood.

The null hypothesis is ${\beta }_1=0$, leaving the random slope variance free; the alternative permits a nonzero population stirring effect. The supplied test has $2({\ell }_1-{\ell }_0)=7.9588$, one extra fixed coefficient, and approximate ${\chi }_1^2$ p-value $0.004786$. Retain the fixed stirring-rate effect at 5%. A mean-zero random slope cannot substitute for an estimated nonzero population slope. The asymptotic calibration assumes regular nuisance covariance parameters and should be interpreted cautiously with only three furnaces; simulation can provide a better finite-sample calibration.

The generalized additive mixed model fitswhere $u_j$ denotes the furnace random intercept and $f$ is a centered penalized cubic regression spline. Its wiggly components have a mixed-model representation; there is no explicit furnace-specific random slope in this formula.

The plotted smooth gives no evidence that a nonparametric fixed effect is needed. It is essentially a straight rising line, and s(stir,1) indicates effective degrees of freedom close to one. The wider bands at extreme stirring rates reflect uncertainty, not detected nonlinearity. A linear fixed stirring effect is adequate on this evidence.

If the three supplied Akaike information criterion values are on a common valid likelihood basis, choose strength_model3, the fixed linear slope plus random-intercept model: its AIC $206.6408$ is smallest, versus $208.3243$ for the additional random slope and $210.3425$ for the smooth. The differences are $1.6835$ and $3.7017$, respectively, so especially the random-slope comparison represents modest support rather than decisive evidence. Retaining the population slope is consistent with part (c); this choice removes only its random variation.

There is a likelihood-basis caveat in the literal printed commands. lmer fits by REML by default, whereas the Gaussian gamm call defaults to ML; direct AIC on these objects need not compare the same type of likelihood. Moreover the earlier ML ANOVA prints $210.22$ for strength_model, whereas this table prints $208.3243$, so these numbers should not silently be treated as one identical ML fit. To obtain a defensible common comparison, fit all candidates to the same observations by ML:The supplied ranking favours the simpler random-intercept model; the displayed original calls alone do not certify that ranking as a consistent ML comparison. This distinction is particularly relevant when the smooth changes the fixed-effect space. The Gaussian gamm ML default and mixed-model representation are documented at stat.ethz.ch/R-manual/R-devel/library/mgcv/html/gamm.html.