The LMIXED Procedure

This section introduces the mathematical notation that is used throughout this chapter to describe the linear mixed model. It assumes familiarity with basic matrix algebra (for an overview, see Searle 1982). A more detailed description of the mixed model is contained in the section Linear Mixed Models Theory.

A statistical model is a mathematical description of how data are generated. The standard linear model, as used by the GLM procedure, is one of the most common statistical models:

In this expression, represents a vector of observed data, is an unknown vector of fixed-effects parameters with a known design matrix , and is an unknown random error vector that models the statistical noise around . The focus of the standard linear model is to model the mean of by using the fixed-effects parameters . The residual errors are assumed to be independent and identically distributed Gaussian random variables with mean 0 and variance .

The mixed model generalizes the standard linear model as follows:

Here, is an unknown vector of random-effects parameters with a known design matrix , and is an unknown random-error vector whose elements are no longer required to be independent and homogeneous.

The number of fixed-effects parameters is called the number of levels for fixed effects throughout this chapter. The number of random-effects parameters is called the number of levels for random effects throughout this chapter.

To further develop this notion of variance modeling, assume that and are Gaussian random variables that are uncorrelated, have expectations , and have variances and , respectively. The variance of is thus

Note that when , the mixed model reduces to the standard linear model.

You can model the variance of the data by specifying the structures of , , and . The model matrix is set up in the same fashion as , the model matrix for the fixed-effects parameters. For and , you must select some covariance structures. Possible covariance structures include the following:

By appropriately defining the model matrices and in addition to the covariance structure matrices and , you can perform numerous mixed model analyses.