Restricted maximum likelihood

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In statistics, restricted (or residual) maximum likelihood (REML) is a method for fitting linear mixed models. In contrast to conventional maximum likelihood estimation, REML can produce unbiased estimates of variance and covariance parameters.[1]

The method was first described by Patterson and Thompson[2] , although they did not use the term REML. A review of the early literature was given by Harville.[3]

REML estimation is available in a number of general-purpose statistical software packages, including Genstat (the REML directive), SAS (the MIXED procedure), Stata (the xtmixed command), and R (the nlme package) , as well as in more specialist packages such as MLwiN and ASReml.

[edit] References

  1. ^ Baker, Bob. Estimating variances and covariances
  2. ^ Patterson, HD; Thompson, R (1971). "Recovery of inter-block information when block sizes are unequal". Biometrika 58 (3): 545—554. doi:10.1093/biomet/58.3.545. .
  3. ^ Harville, David A. (1977). "Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems". Journal of the American Statistical Association 72 (358): 320—338. 
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