Linear Mixed Model Robust Regression

Mixed models are powerful tools for the analysis of clustered data and many extensions of the classical linear mixed model with normally distributed response have been established. As with all parametric models, correctness of the assumed model is critical for the validity of the ensuing inference. An incorrectly specified parametric means model may be improved by using a local, or nonparametric, model. Two local models are proposed by a pointwise weighting of the marginal and conditional variance-covariance matrices. However, nonparametric models tend to fit to irregularities in the data and provide fits with high variance. Model robust regression techniques estimate mean response as a convex combination of a parametric and a nonparametric model fits to the data. It is a semiparametric method by which incomplete or incorrect specified parametric models can be improved through adding an appropriate amount of the nonparametric fit. We compare the approximate integrated mean square error of the parametric, nonparametric, and mixed model robust methods via a simulation study, and apply these methods to monthly wind speed data from counties in Ireland.