Flexible Modelling of Serial Correlation in GLMM Modellazione flessibile della struttura di correlazione seriale nei GLMM Mariangela Sciandra Dipartimento di Scienze Statistiche e Matematiche “Silvio Vianelli”, Universita` degli Studi di Palermo e-mail:
[email protected] Keywords: longitudinal data, glmm, serial correlation, fractional polynomials 1. Introduction Mixed models have rapidly become a very useful tool for modelling longitudinal data because, thanks to their flexibility, they are particularly suited to handle many complex situations, especially when extensions like Generalized Linear or Nonlinear mixed models are used. However, existing works on Generalized Linear Mixed Models (GLMMs) assume the correlation between measurements on the same observational unit to be modelled only by the random effects while conditionally upon them the repeated measurements are assumed to be independent. Yet, it could happen that part of an individual observed profile may be a response to time-varying stochastic processes operating within that unit. This type of random variation results in a correlation between pairs of measurements on the same subject, called serial correlation, which is usually a decreasing function of the time separation between these measurements. So, in presence of serially correlated observations the functional specification of the covariance structure should be done through the simultaneous specification of the covariance structure induced by the random effects, which is typically non-stationary, and the specification of a “residual” component which accounts for deviations of the observations from the individual profiles. Standard GLMMs are not able to deal with serially correlated observations because assuming conditional independence they ignore correlation at the residuals level resulting in invalid inferences for the parameters in the mean structure of the model.