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Gradient boosting for linear mixed models

Author

Listed:
  • Griesbach Colin

    (Department of Medical Informatics, Biometry and Epidemiology, Friedrich-Alexander-Universität Erlangen-Nürnberg, Erlangen, Germany)

  • Säfken Benjamin

    (Chair of Statistics, Georg-August-Universität Göttingen, Göttingen, Germany)

  • Waldmann Elisabeth

    (Department of Medical Informatics, Biometry and Epidemiology, Friedrich-Alexander-Universität Erlangen-Nürnberg, Erlangen, Germany)

Abstract

Gradient boosting from the field of statistical learning is widely known as a powerful framework for estimation and selection of predictor effects in various regression models by adapting concepts from classification theory. Current boosting approaches also offer methods accounting for random effects and thus enable prediction of mixed models for longitudinal and clustered data. However, these approaches include several flaws resulting in unbalanced effect selection with falsely induced shrinkage and a low convergence rate on the one hand and biased estimates of the random effects on the other hand. We therefore propose a new boosting algorithm which explicitly accounts for the random structure by excluding it from the selection procedure, properly correcting the random effects estimates and in addition providing likelihood-based estimation of the random effects variance structure. The new algorithm offers an organic and unbiased fitting approach, which is shown via simulations and data examples.

Suggested Citation

  • Griesbach Colin & Säfken Benjamin & Waldmann Elisabeth, 2021. "Gradient boosting for linear mixed models," The International Journal of Biostatistics, De Gruyter, vol. 17(2), pages 317-329, November.
    • Handle: RePEc:bpj:ijbist:v:17:y:2021:i:2:p:317-329:n:5
    DOI: 10.1515/ijb-2020-0136
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