You need to give your criteria for "preferable". For normal-linear models, REML estimates of variances are unbiased, whereas ML estimates are downwardly biased. My intuition is that the ML-induced bias would be worse in small samples. I don't know about other distributions. Likewise I don't know about MSE or other criterion for preference.
"John Sorkin" <[email protected]> Sent by: [email protected] 12/07/2009 09:24 PM To <[email protected]> cc Subject [R] lm: RME vs. ML windows XP R 2.10 As pointed out by Prof. Venables and Ripley (MASS 4th edition, p275), the results obtained from lme using method="ML" and method="REML" are often different, especially for small datasets. Is there any way to determine which method is preferable for a given set of data? Thanks, john John David Sorkin M.D., Ph.D. Chief, Biostatistics and Informatics University of Maryland School of Medicine Division of Gerontology Baltimore VA Medical Center 10 North Greene Street GRECC (BT/18/GR) Baltimore, MD 21201-1524 (Phone) 410-605-7119 (Fax) 410-605-7913 (Please call phone number above prior to faxing) Confidentiality Statement: This email message, including any attachments, is for th...{{dropped:13}} ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
