CAS Exam MAS-II Spring 2019, Question 12
Study guide: Exam MAS-II
Fitting a Linear Mixed Model requires estimating the fixed-effect parameters, \boldsymbol{\beta}, and the covariance parameters for the \mathbf{D} and \mathbf{R}_i matrices, \boldsymbol{\theta}. Consider the following statements regarding maximum likelihood (ML) estimation and restricted maximum likelihood (REML) estimation.
I. If \boldsymbol{\theta} is known, ML produces the best linear unbiased estimator of \boldsymbol{\beta}.
II. REML accounts for the degrees of freedom used to estimate \boldsymbol{\beta} in order to produce an unbiased estimate of \boldsymbol{\theta}.
III. ML and REML estimation both use the same formulas to estimate \boldsymbol{\beta}.
Determine which of the preceding statements are true.
- A) I only
- B) II only
- C) III only
- D) I, II, and III
- E) The correct answer is not given by (A), (B), (C), or (D)
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