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

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.