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Dynamic Conditionally Linear Mixed Models for Longitudinal Data

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We develop a new class of models, dynamic conditionally linear mixed models, for longitudinal data by decomposing the within-subject covariance matrix using a special Cholesky decomposition. Here ‘dynamic’ means using past responses as covariates and ‘conditional linearity’ means that parameters entering the model linearly may be random, but nonlinear parameters are nonrandom. This setup offers several advantages and is surprisingly similar to models obtained from the first-order linearization method applied to nonlinear mixed models. First, it allows for flexible and computationally tractable models that include a wide array of covariance structures; these structures may depend on covariates and hence may differ across subjects. This class of models includes, e.g., all standard linear mixed models, antedependence models, and Vonesh-Carter models. Second, it guarantees the fitted marginal covariance matrix of the data is positive definite. We develop methods for Bayesian inference and motivate the usefulness of these models using a series of longitudinal depression studies for which the features of these new models are well suited.

Keywords: Covariance matrix; Heterogeneity; Hierarchical models; Markov chain Monte Carlo; Missing data; Unconstrained parameterization

Document Type: Research Article


Affiliations: 1: Division of Statistics, Northern Illinois University, DeKalb, Illinois 60115, U.S.A., Email: 2: Department of Statistics, Iowa State University, Ames, Iowa 50011, U.S.A., Email:

Publication date: March 1, 2002

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