Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 206 / 4

The random-slope linear mixed model iswith independence between the random effects and errors. The estimates areIncubators are treated as exchangeable representatives of possible growth environments, so a random slope permits their growth rates to differ while estimating a population mean growth rate. The formula 0+hours deliberately removes a random intercept: larvae are assigned only after hatching, so it is reasonable to assume no incubator-specific baseline at time zero. Random assignment supports this common-baseline assumption in expectation; it does not prove that observed initial sizes or other baseline differences are exactly identical.

For a new incubator, no observations are available to estimate its realized random slope, and its mean effect is zero. Under squared-error loss the best prediction integrates over that effect and the residual error:This is the plug-in conditional expectation given the population parameters, rather than a prediction using a fitted effect from one of the four existing incubators. Ignoring parameter-estimation uncertainty, the prediction variance for a new individual is $10^2{\hat{\tau }}^2+{\hat{\sigma }}^2=375.29023$; it is not just the uncertainty in the population mean.

Let $X$ have columns $1,t$, and let $Z$ have one column per incubator, with entry $t_i$ in the column for observation $i$'s incubator and zeros elsewhere. Integrating the Gaussian random effects givesConsequently its marginal log-likelihood isThe likelihood-ratio test of $H_0:{\tau }^2=0$ against ${\tau }^2>0$ usesFor each covariance, the optimizing coefficients are the generalized least squares estimator $(X^T{V}^{-1}X{)}^{-1}{X}^T{V}^{-1}Y$. Both fits should use the same marginal likelihood convention, for example fitting the alternative with update(fly.model, REML=FALSE) and the null as a Gaussian linear model. The displayed alternative REML criterion alone cannot supply $T$.

The variance component is constrained to be nonnegative, and zero lies on the boundary. Thus the interior-parameter hypothesis of Wilks theorem fails; the usual ${\chi }_1^2$ approximation is inappropriate. A $\frac{1}{2}{\delta }_0+\frac{1}{2}{\chi }_1^2$ limit sometimes applies to a single variance component under additional asymptotic conditions, but four incubators do not give a persuasive large-number-of-groups approximation.

Use a parametric bootstrap under the null: estimate $\beta ,{\sigma }^2$ there; simulate independent Gaussian errors with that fitted variance at exactly the observed times and grouping labels; refit both models by maximum likelihood for each simulated sample; and calculate $T^{\ast }$. The upper-tail proportion, conventionally $(1+\#\{T^{\ast }\ge T\})/(B+1)$, estimates the p-value. Boundary fits with estimated ${\tau }^2=0$ must remain in the simulation distribution. A restricted-likelihood ratio and a correspondingly calibrated bootstrap are another option when the fixed-effect design is identical, but one must not mix ordinary and restricted likelihoods in a single statistic.

The marginal Akaike information criterion is $\mathrm{AIC}=-2\ell ({\hat{\vartheta }}_{\mathrm{ML}})+2k$, where $k$ counts estimated population parameters. Here they are ${\beta }_0,{\beta }_1,{\sigma }^2,{\tau }^2$, so $k=4$. The realized incubator slopes have been integrated out of the likelihood function; they are not four additional free population coefficients. From the marginal Gaussian log-likelihood, the expression isAll hats here denote the ordinary maximum likelihood estimation fit.

The displayed value $14041.1$ is instead a restricted maximum likelihood criterion. Thus it cannot simply be substituted for the ordinary maximum-likelihood deviance. The logLik method defaults to the fitting convention. If one applies AIC(fly.model) directly to the displayed REML object, the default restricted log-likelihood and the same parameter count give the software's restricted-likelihood-based value $14041.1+8=14049.1$. This number should be labelled as such; it is not the ordinary marginal AIC derived above. To obtain the latter, refit and calculateThe output does not contain that numerical answer. In particular, restricted criteria must not be used to compare models with different fixed-effect designs. A conditional AIC targeting predictions for existing groups is yet another criterion and does not follow by counting each latent slope as an ordinary parameter.

Add a location-specific random intercept to the random-slope linear mixed model:Take the location effects, incubator slopes and individual errors to be mutually independent, with the original variances ${\tau }^2$ and ${\sigma }^2$. The random intercept models variation already present at hatching because of the origin of the eggs. Because larvae are subsequently assigned to incubators, location and incubator are crossed random effects, not automatically nested groups. The corresponding code isThe resulting covariance between two observations contains ${\omega }^2$ if they share a location and ${\tau }^2{t}_i{t}_k$ if they share an incubator. If the three named locations themselves are the only populations of interest, use a fixed location factor instead:Choosing between these interpretations depends on the inferential target; with only three locations, a location variance component will be weakly estimated.

The command fits a Gaussian generalized additive mixed modelThe population growth curve $s$ is a centered penalized regression spline with a cubic regression basis. The incubator term remains a random slope without a random intercept, because ~0+hours removes the intercept. A population linear component is allowed within the smooth's unpenalized part; curvature is penalized rather than being required.

A gamm fit returns a list with gam and lme components. Plot the population smooth and pointwise uncertainty bands withInspect whether the fitted curve departs materially from an affine function, particularly in regions supported by observations. The effective degrees of freedom near one suggest that the penalization has selected an approximately linear centered smooth. Bands and partial residuals help distinguish convincing curvature from noisy deviations, although pointwise bands are not a simultaneous test of linearity. A formal comparison would need to account for both smoothing selection and the incubator dependence. The smooth plot tests the visual plausibility of a common straight growth curve while retaining incubator-specific slope variation.