Robust Estimation under Linear Mixed Models: The Minimum Density Power Divergence Approach

TL;DR

This paper introduces a robust estimation method for Linear Mixed Models using the Minimum Density Power Divergence approach, enhancing stability against deviations from normality and providing theoretical guarantees and practical performance evaluations.

Contribution

It develops the MDPDE for LMMs, proves its theoretical properties, and proposes data-driven methods for selecting the tuning parameter, improving robustness over classical estimators.

Findings

MDPDE shows superior robustness in simulations with contaminated data.

Theoretical properties like consistency and asymptotic normality are established.

Real-data example demonstrates practical effectiveness.

Abstract

Many real-life data sets can be analyzed using Linear Mixed Models (LMMs). Since these are ordinarily based on normality assumptions, under small deviations from the model the inference can be highly unstable when the associated parameters are estimated by classical methods. On the other hand, the density power divergence (DPD) family, which measures the discrepancy between two probability density functions, has been successfully used to build robust estimators with high stability associated with minimal loss in efficiency. Here, we develop the minimum DPD estimator (MDPDE) for independent but non identically distributed observations in LMMs. We prove the theoretical properties, including consistency and asymptotic normality. The influence function and sensitivity measures are studied to explore the robustness properties. As a data based choice of the MDPDE tuning parameter $\alpha$ is very important, we propose two candidates as "optimal" choices, where optimality is in the sense of choosing the strongest downweighting that is necessary for the particular data set. We conduct a simulation study comparing the proposed MDPDE, for different values of $\alpha$, with the S-estimators, M-estimators and the classical maximum likelihood estimator, considering different levels of contamination. Finally, we illustrate the performance of our proposal on a real-data example.