Fast EM‐type implementations for mixed effects models

The mixed effects model, in its various forms, is a common model in applied statistics. A useful strategy for fitting this model implements EM‐type algorithms by treating the random effects as missing data. Such implementations, however, can be painfully slow when the variances of the random effects are small relative to the residual variance. In this paper, we apply the ‘working parameter’ approach to derive alternative EM‐type implementations for fitting mixed effects models, which we show empirically can be hundreds of times faster than the common EM‐type implementations. In our limited simulations, they also compare well with the routines in S‐PLUS® and Stata® in terms of both speed and reliability. The central idea of the working parameter approach is to search for efficient data augmentation schemes for implementing the EM algorithm by minimizing the augmented information over the working parameter, and in the mixed effects setting this leads to a transfer of the mixed effects variances into the regression slope parameters. We also describe a variation for computing the restricted maximum likelihood estimate and an adaptive algorithm that takes advantage of both the standard and the alternative EM‐type implementations.