topic proc mixed covariance structure: fixing some parameters to 0 in SAS Procedures

proc mixed covariance structure: fixing some parameters to 0

wchang — Tue, 29 Sep 2015 13:51:37 GMT

Hello,

When estimating a multilevel model using proc mixed, is there a way to fix some of the covariances in the G matrix to 0 while freely estimating the other components? Here is the matrix I want to estimate:

var

cov var

cov cov var

0 0 0 var

0 0 0 0 var

0 0 0 0 0 var

Re: proc mixed covariance structure: fixing some parameters to 0

SteveDenham — Wed, 30 Sep 2015 18:54:37 GMT

Assuming that you have an unstructured matrix, and you can make reasonable assumptions regarding the variances and covariances to be estimated, then the PARMS statement should be what you need:

PARMS (var1) (cov12) (var2) (cov13) (cov23) (var3) (0) (0) (0) (var4) (0) (0) (0) (0) (var5) (0) (0) (0) (0) (0) (var6)/hold=7,8,9,11,12,13,14,16,17,18,19,20;

Insert appropriate values for var1-var6 and the covariances. OR set the variances to 1 and covariances to 0, and let the optimizer work.

Steve Denham

Re: proc mixed covariance structure: fixing some parameters to 0

wchang — Fri, 09 Oct 2015 20:17:55 GMT

Thank you so much for helping me understand the PARMS statement. What would be the criteria for determining appropriate starting values for the variances and covariances if I don't use 1s and 0s?

Re: proc mixed covariance structure: fixing some parameters to 0

SteveDenham — Mon, 12 Oct 2015 12:37:13 GMT

Variances and covariances are easy to come by using PROC CORR with the COV option. These would be reasonable starting values.

Steve Denham