The GLIMMIX Procedure


Residual-Based Estimators

The GLIMMIX procedure can compute the classical sandwich estimator of the covariance matrix of the fixed effects, as well as several bias-adjusted estimators. This requires that the model is either an (overdispersed) GLM or a GLMM that can be processed by subjects (see the section Processing by Subjects).

Consider a statistical model of the form


The general expression of a sandwich covariance estimator is then


where , .

For a GLMM estimated by one of the pseudo-likelihood techniques that involve linearization, you can make the following substitutions: , , , . These matrices are defined in the section Pseudo-likelihood Estimation Based on Linearization.

The various estimators computed by the GLIMMIX procedure differ in the choice of the constant and the matrices and . You obtain the classical estimator, for example, with , and equal to the identity matrix.

The EMPIRICAL=ROOT estimator of Kauermann and Carroll (2001) is based on the approximation


where . The EMPIRICAL=FIRORES estimator is based on the approximation


of Mancl and DeRouen (2001). Finally, the EMPIRICAL=FIROEEQ estimator is based on approximating an unbiased estimating equation (Fay and Graubard 2001). For this estimator, is a diagonal matrix with entries


where . The optional number is chosen to provide an upper bound on the correction factor. For , the classical sandwich estimator results. PROC GLIMMIX chooses as default value . The diagonal entries of are then no greater than 2.

Table 40.19 summarizes the components of the computation for the GLMM based on linearization, where denotes the number of subjects and is the rank of .

Table 40.19 Empirical Covariance Estimators for a Linearized GLMM











Computation of an empirical variance estimator requires that the data can be processed by independent sampling units. This is always the case in GLMs. In this case, equals the sum of all frequencies. In GLMMs, the empirical estimators require that the data consist of multiple subjects. In that case, equals the number of subjects as per the "Dimensions" table. The following section discusses how the GLIMMIX procedure determines whether the data can be processed by subjects. The section GLM Mode or GLMM Mode explains how PROC GLIMMIX determines whether a model is fit in GLM mode or in GLMM mode.