Lee, Y.; Nelder, J. A. Hierarchical generalized linear models. (With discussion). (English) Zbl 0880.62076 J. R. Stat. Soc., Ser. B 58, No. 4, 619-678 (1996). Summary: We consider hierarchical generalized linear models which allow extra error components in the linear predictors of generalized linear models. The distribution of these components is not restricted to be normal; this allows a broader class of models, which includes generalized linear mixed models. We use a generalization of C. R. Henderson’s joint likelihood [Biometrics 31, 423-447 (1975; Zbl 0335.62048)], called a hierarchical or \(h\)-likelihood, for inferences from hierarchical generalized linear models. This avoids the integration that is necessary when marginal likelihood is used. Under appropriate conditions maximizing the \(h\)-likelihood gives fixed effect estimators that are asymptotically equivalent to those obtained from the use of marginal likelihood; at the same time we obtain the random effect estimates that are asymptotically best unbiased predictors.An adjusted profile \(h\)-likelihood is shown to give the required generalization of restricted maximum likelihood for the estimation of dispersion components. A scaled deviance test for the goodness of fit, a model selection criterion for choosing between various dispersion models and a graphical method for checking the distributional assumption of random effects are proposed. The ideas of quasi-likelihood and extended quasi-likelihood are generalized to the new class. We give examples of the Poisson-gamma, binomial-beta and gamma-inverse gamma hierarchical generalized linear models. A resolution is proposed for the apparent difference between population-averaged and subject-specific models. A unified framework is provided for viewing and extending many existing methods. Cited in 7 ReviewsCited in 184 Documents MSC: 62J12 Generalized linear models (logistic models) Keywords:\(h\)-likelihood; canonical link; dispersion components; hierarchical likelihood; marginal likelihood; profile likelihood; quasi-\(h\)-likelihood; random effect; restricted maximum likelihood; hierarchical generalized linear models; extra error components; linear predictors; generalized linear mixed models Citations:Zbl 0335.62048 PDFBibTeX XMLCite \textit{Y. Lee} and \textit{J. A. Nelder}, J. R. Stat. Soc., Ser. B 58, No. 4, 619--678 (1996; Zbl 0880.62076)