# maximum likelihood method for generalized mixed effects model

reference: http://www.stat.wisc.edu/~bates/UseR2008/WorkshopD.pdf from page 120.

Now I want to fit a generalized logistic mixed model, where $$\beta$$ is fixed effect, $$\theta$$ is variance covariance parameter of random effects, $$u$$ is the random effects, $$\tilde{u}$$ is the empirical random effects. The likelihood function is $$L(\theta, \beta \mid y) = \int p(y \mid X,\beta, Z, u) \; p(u \mid \theta) \, du.$$

I do not understand how fixed effects $$\beta$$ and variance parameters of random effects $$\theta$$ are estimated. According to the slides, first they use penalized iteratively reweighted leases squares method to estimate $$\tilde{u}(y|\theta,\beta)$$, then use Laplace approximation and maximum likelihood method to maximum deviance $$d(\beta,\theta|y)$$. The deviance is a function of $$y,\tilde{u}$$, then a function of $$y,\beta,\theta$$.

From my perspective, $$\tilde{u}$$ is not a closed form. How can we mamimize a function where the function includes a PIRLS algorithm?

For this numerical integration the adaptive Gaussian quadrature is considered one of the best approaches to approximate the involved integrals. The adaptive part of the rule has to do with appropriately centering and scaling the integrands. This step requires locating the mode of the conditional likelihood $$L(u \mid y; \beta, \theta) = p(y \mid u, \beta) \; p(u \mid \theta).$$ In this step PIRLS is used. Then when you have approximated the integral, you optimize the marginal log-likelihood $$\ell(\beta, \theta) = \sum_i \log L_i(\beta, \theta \mid y_i, X_i, Z_i)$$ you wrote above.
• Thank you! I am still confused about one point. When PIRLS is used, $\beta$ and $\theta$ are unknown because they are what we want to estimate in the second step. But if the input is unknown, how do I use PIRLS? To be specific, how do I determine the number of steps of PIRLS? – zqin Mar 22 at 17:22
• The procedure works iteratively, you start with initial values for $\beta$ and $\theta$ and for these you calculate the modes $\hat u$ using PIRLS. Then given these modes you do the Laplace approximation and you update the values for $\beta$ and $\theta$. And you continue alternating these two steps until convergence. – Dimitris Rizopoulos Mar 22 at 18:07
• Thank you, professor! By the way, the procedure looks like an EM algorithm. Estimating $\tilde{u}$ and Laplace approximation, i.e. the numerical integration is the E-step. And maximizing log-likelihood is the M-step. Is this correct? – zqin Mar 22 at 18:40