Properties of h‐Likelihood Estimators in Clustered Data

Lee Youngjo and Gwangsu Kim

International Statistical Review, 2020, vol. 88, issue 2, 380-395

Abstract: We study properties of the maximum h‐likelihood estimators for random effects in clustered data. To define optimality in random effects predictions, several foundational concepts of statistics such as likelihood, unbiasedness, consistency, confidence distribution and the Cramer–Rao lower bound are extended. Exact probability statements about interval estimators for random effects can be made asymptotically without a prior assumption. Using the binary‐matched pair example, we illustrated that the use of random effects recover information, leading to the boon on estimating treatment effects.

Date: 2020
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