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proc mixed covariance structure: fixing some parameters to 0

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New Contributor
Posts: 4

proc mixed covariance structure: fixing some parameters to 0

 

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

Respected Advisor
Posts: 2,655

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

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

New Contributor
Posts: 4

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

[ Edited ]

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?

Respected Advisor
Posts: 2,655

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

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

 

Steve Denham

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