Efficient moment calculations for variance components in large unbalanced crossed random effects models

Abstract

Large crossed data sets, often modeled by generalized linear mixed models, have become increasingly common and provide challenges for statistical analysis. At very large sizes it becomes desirable to have the computational costs of estimation, inference and prediction (both space and time) grow at most linearly with sample size.

Both traditional maximum likelihood estimation and numerous Markov chain Monte Carlo Bayesian algorithms take superlinear time in order to obtain good parameter estimates in the simple two-factor crossed random effects model. We propose moment based algorithms that, with at most linear cost, estimate variance components, measure the uncertainties of those estimates, and generate shrinkage based predictions for missing observations. When run on simulated normally distributed data, our algorithm performs competitively with maximum likelihood methods.