Necessary and Sufficient Conditions for Posterior Propriety for Generalized Linear Mixed Models

Yalin Rao and Vivekananda Roy ()
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Yalin Rao: University of Massachusetts
Vivekananda Roy: Iowa State University

Sankhya A: The Indian Journal of Statistics, 2025, vol. 87, issue 1, No 7, 157-190

Abstract: Abstract Generalized linear mixed models (GLMMs) are commonly used to analyze correlated discrete or continuous response data. In Bayesian GLMMs, the often-used improper priors may yield undesirable improper posterior distributions. Thus, verifying posterior propriety is crucial for valid applications of Bayesian GLMMs with improper priors. Here, we consider the popular improper uniform prior on the regression coefficients and several proper or improper priors, including the widely used gamma and power priors on the variance components of the random effects. We also construct an approximate Jeffreys’ prior for objective Bayesian analysis of GLMMs. For the two most widely used GLMMs, namely, the binomial and Poisson GLMMs, we provide easily verifiable sufficient conditions compared to the currently available results. We also derive the necessary conditions for posterior propriety for the general exponential family GLMMs. Finally, we use examples involving one-way and two-way random effects models to demonstrate the theoretical results derived here.

Keywords: Bayesian GLMMs; Diffuse prior; Improper prior; Jeffreys’ prior; Objective bayes; Reference prior; Variance component; Primary 62F15; Secondary 62J12 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s13171-025-00376-y

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