Robust Variable Selection in Linear Mixed Models

Yali Fan, Guoyou Qin and Zhong Yi Zhu

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 21, 4566-4581

Abstract: In this article, we develop a robust variable selection procedure jointly for fixed and random effects in linear mixed models for longitudinal data. We propose a penalized robust estimator for both the regression coefficients and the variance of random effects based on a re-parametrization of the linear mixed models. Under some regularity conditions, we show the oracle properties of the proposed robust variable selection method. Simulation study shows the robustness of the proposed method against outliers. In the end, the proposed methods is illustrated in the analysis of a real data set.

Date: 2014
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DOI: 10.1080/03610926.2012.724509

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