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SPRINGER BRIEFS IN STATISTICS
JSS RESEARCH SERIES IN STATISTICS
Ikuko Funatogawa
Takashi Funatogawa
Longitudinal
Data Analysis
Autoregressive
Linear Mixed
Effects Models
123
SpringerBriefs in Statistics
JSS Research Series in Statistics
Editors-in-Chief
Naoto Kunitomo
Akimichi Takemura
Series editors
Genshiro Kitagawa
Tomoyuki Higuchi
Toshimitsu Hamasaki
Shigeyuki Matsui
Manabu Iwasaki
Yasuhiro Omori
Masafumi Akahira
Takahiro Hoshino
Masanobu Taniguchi
The current research of statistics in Japan has expanded in several directions in line
with recent trends in academic activities in the area of statistics and statistical
sciences over the globe. The core of these research activities in statistics in Japan
has been the Japan Statistical Society (JSS). This society, the oldest and largest
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pioneer statisticians and economists and now has a history of about 80 years. Many
distinguished scholars have been members, including the influential statistician
Hirotugu Akaike, who was a past president of JSS, and the notable mathematician
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More information about this series at http://www.springer.com/series/13497

Ikuko Funatogawa Takashi Funatogawa
•
Longitudinal Data Analysis

Autoregressive Linear Mixed Effects Models
123
Ikuko Funatogawa Takashi Funatogawa
Department of Statistical Data Science Clinical Science and Strategy Department
The Institute of Statistical Mathematics Chugai Pharmaceutical Co. Ltd.
Tachikawa, Tokyo, Japan Chūō, Tokyo, Japan
ISSN 2191-544X ISSN 2191-5458 (electronic)

SpringerBriefs in Statistics
ISSN 2364-0057 ISSN 2364-0065 (electronic)
JSS Research Series in Statistics
ISBN 978-981-10-0076-8 ISBN 978-981-10-0077-5 (eBook)
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Preface
There are already many books on longitudinal data analysis. This book is unique
among them in that it specializes in autoregressive linear mixed effects models that
we proposed. This is a new analytical approach for dynamic data repeatedly
measured from multiple subjects over time. Random effects account for differences
across subjects. Autoregression in the response itself is often used in time series
analysis. In longitudinal data analysis, a static mixed effects model is changed into a
dynamic one by the introduction of the autoregression term. It provides one of the
simplest models that take into account the past covariate history without approxi-
mation and discrepancy between marginal and subject specific interpretation.
Response levels in this model gradually move toward an asymptote or equilibrium
which depends on fixed effects and random effects, and this is an intuitive summary
measure. Linear mixed effects models have good properties but are not always
satisfactory to express those nonlinear time trends. Little is known about what
autoregressive linear mixed effects models represents when used in longitudinal
data analysis.
Chapter 1 introduces longitudinal data, linear mixed effects models, and mar-
ginal models before the main theme. Prior knowledge of regression analysis and
matrix calculation is desirable. Chapter 2 introduces autoregressive linear mixed
effects models, the main theme of this book. Chapter 3 presents two case studies of
actual data analysis about the topics of response-dependent dropouts and
response-dependent dose modifications. Chapter 4 describes the bivariate exten-
sion, along with an example of actual data analysis. Chapter 5 explains the rela-
tionships with nonlinear mixed effects models, growth curves, and differential
equations. Chapter 6 describes state space representation as an advanced topic for
interested readers.
Our experiences with data analysis are mainly through experimental studies,
such as randomized clinical trials and clinical studies with dose modifications. Here,
we focus on the mechanistic aspects of autoregressive linear mixed effects models.
Dynamic panel data analysis in economics is closely related to autoregressive linear
mixed effects models; however, it is used in observational studies and is not cov-
ered in this book.
v
vi Preface
We would like to thank Professor Nan Laird, Professor Daniel Heitjan, Dr.
Motoko Yoshihara, Dr. Keiichi Fukaya, and Dr Kazem Nasserinejad for reviewing
the draft of this book. We believe that the book has been improved greatly. As the
authors, we take full responsibility for the material in this book. This work is
supported by JSPS KAKENHI Grant Number JP17K00066 and the ISM
Cooperative Research Program (2018–ISMCRP–2044) to Ikuko Funatogawa. We
would like to thank the professors in the institute of statistical mathematics who
encouraged us for writing the book. We wrote the doctoral theses based on the
autoregressive linear mixed effects models more than a decade ago. We are very
grateful to Ikuko’s supervisor, Professor Yasuo Ohashi, and Takashi’s supervisor,
Professor Masahiro Takeuchi. We would also like to thank Professor Manabu
Iwasaki for giving us this valuable opportunity to write this book. Lastly, we extend
our sincere thanks to our family.
Tokyo, Japan Ikuko Funatogawa

December 2018 Takashi Funatogawa
Contents
1 Longitudinal Data and Linear Mixed Effects Models . . . . . . . . . . . . 1

1.1 Longitudinal Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Linear Mixed Effects Models . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Examples of Linear Mixed Effects Models . . . . . . . . . . . . . . . . . . 4
1.3.1 Means at Each Time Point with Random Intercept . . . . . . 5
1.3.2 Group Comparison Based on Means at Each Time
Point with Random Intercept . . . . . . . . . . . . . . . . . . . . .. 7
1.3.3 Means at Each Time Point with Unstructured Variance
Covariance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 9
1.3.4 Linear Time Trend Models with Random Intercept
and Random Slope . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 10
1.3.5 Group Comparison Based on Linear Time Trend Models
with Random Intercept and Random Slope . . . . . . . . . . . . 12
1.4 Mean Structures and Variance Covariance Structures . . . . . . . . . . 13
1.4.1 Mean Structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.4.2 Variance Covariance Structures . . . . . . . . . . . . . . . . . . . . 14
1.5 Inference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.5.1 Maximum Likelihood Method . . . . . . . . . . . . . . . . . . . . . 18
1.5.2 Variances of Estimates of Fixed Effects . . . . . . . . . . . . . . 21
1.5.3 Prediction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.5.4 Goodness of Fit for Models . . . . . . . . . . . . . . . . . . . . . . . 23
1.5.5 Estimation and Test Using Contrast . . . . . . . . . . . . . . . . . 23
1.6 Vector Representation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2 Autoregressive Linear Mixed Effects Models . . . . . . . . . . . . . . . . . . 27
2.1 Autoregressive Models of Response Itself . . . . . . . . . . . . . . . . . . 27
2.1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.1.2 Response Changes in Autoregressive Models . . . . . . . . . . 29
2.1.3 Interpretation of Parameters . . . . . . . . . . . . . . . . . . . . . . . 32
vii
viii Contents
2.2 Examples of Autoregressive Linear Mixed Effects Models . . . . . . 34

2.2.1 Example Without Covariates . . . . . . . . . . . . . . . . . . . . . . 35
2.2.2 Example with Time-Independent Covariates . . . . . . . . . . . 36
2.2.3 Example with a Time-Dependent Covariate . . . . . . . . . . . . 37
2.3 Autoregressive Linear Mixed Effects Models . . . . . . . . . . . . . . . . 38
2.3.1 Autoregressive Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2.3.2 Representation of Response Changes
with Asymptotes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.3.3 Marginal Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
2.4 Variance Covariance Structures . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.4.1 AR(1) Error and Measurement Error . . . . . . . . . . . . . . . . . 45
2.4.2 Variance Covariance Matrix Induced by Random
Effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... 48
2.4.3 Variance Covariance Matrix Induced by Random
Effects and Random Errors . . . . . . . . . . . . . . . . . . . . . . . . 50
2.4.4 Variance Covariance Matrix for Asymptotes . . . . . . . . . . . 51
2.5 Estimation in Autoregressive Linear Mixed Effects Models . . . . . . 52
2.5.1 Likelihood of Marginal Form . . . . . . . . . . . . . . . . . . . . . . 52
2.5.2 Likelihood of Autoregressive Form . . . . . . . . . . . . . . . . . . 53
2.5.3 Indirect Methods Using Linear Mixed Effects Models . . . . 54
2.6 Models with Autoregressive Error Terms . . . . . . . . . . . . . . . . . . . 56
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
3 Case Studies of Autoregressive Linear Mixed Effects Models:
Missing Data and Time-Dependent Covariates . . . . . . . . . . . . . . . . . 59
3.1 Example with Time-Independent Covariate: PANSS Data . . . . . . . 59
3.2 Missing Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.2.1 Missing Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.2.2 Model Comparison: PANSS Data . . . . . . . . . . . . . . . . . . . 63
3.3 Example with Time-Dependent Covariate: AFCR Data . . . . . . . . . 68
3.4 Response-Dependent Modification of Time-Dependent
Covariate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..... 72
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..... 74
4 Multivariate Autoregressive Linear Mixed Effects Models . . . . .... 77
4.1 Multivariate Longitudinal Data and Vector Autoregressive
Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
4.1.1 Multivariate Longitudinal Data . . . . . . . . . . . . . . . . . . . . . 77
4.1.2 Vector Autoregressive Models . . . . . . . . . . . . . . . . . . . . . 78
4.2 Multivariate Autoregressive Linear Mixed Effects Models . . . . . . . 80
4.2.1 Example of Bivariate Autoregressive Linear Mixed
Effects Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... 80
4.2.2 Autoregressive Form and Marginal Form . . . . . . . . . .... 82
4.2.3 Representation of Response Changes with Equilibria . .... 85
Contents ix
4.2.4 Variance Covariance Structures . . . . . . . . . . . . . . . . . . . . 86

4.2.5 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
4.3 Example with Time-Dependent Covariate: PTH and Ca Data . . . . 90
4.4 Multivariate Linear Mixed Effects Models . . . . . . . . . . . . . . . . . . 94
4.5 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
4.5.1 Direct Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
4.5.2 Parameter Transformation . . . . . . . . . . . . . . . . . . . . . . . . . 96
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
5 Nonlinear Mixed Effects Models, Growth Curves,
and Autoregressive Linear Mixed Effects Models . . . . ........... 99
5.1 Autoregressive Models and Monomolecular Curves ........... 99
5.2 Autoregressive Linear Mixed Effects Models
and Monomolecular Curves with Random Effects . . . . . . . . . . . . . 104
5.3 Nonlinear Mixed Effects Models . . . . . . . . . . . . . . . . . . . . . . . . . 105
5.3.1 Nonlinear Mixed Effects Models . . . . . . . . . . . . . . . . . . . . 105
5.3.2 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
5.4 Nonlinear Curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
5.4.1 Exponential Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
5.4.2 Gompertz Curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
5.4.3 Logistic Curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
5.4.4 Emax Models and Logistic Curves . . . . . . . . . . . . . . . . . . . 112
5.4.5 Other Nonlinear Curves . . . . . . . . . . . . . . . . . . . . . . . . . . 113
5.5 Generalization of Growth Curves . . . . . . . . . . . . . . . . . . . . . . . . . 114
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
6 State Space Representations of Autoregressive Linear Mixed
Effects Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
6.1 Time Series Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
6.1.1 State Space Representations of Time Series Data . . . . . . . . 120
6.1.2 Steps for Kalman Filter for Time Series Data . . . . . . . . . . 121
6.2 Longitudinal Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
6.2.1 State Space Representations of Longitudinal Data . . . . . . . 123
6.2.2 Calculations of Likelihoods . . . . . . . . . . . . . . . . . . . . . . . 124
6.3 Autoregressive Linear Mixed Effects Models . . . . . . . . . . . . . . . . 125
6.3.1 State Space Representations of Autoregressive Linear
Mixed Effects Models . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
6.3.2 Steps for Modified Kalman Filter for Autoregressive
Linear Mixed Effects Models . . . . . . . . . . . . . . . . . . . . . . 128
6.3.3 Steps for Calculating Standard Errors and Predicted
Values of Random Effects . . . . . . . . . . . . . . . . . . . . . . . . 131
6.3.4 Another Representation . . . . . . . . . . . . . . . . . . . . . . . . . . 132
6.4 Multivariate Autoregressive Linear Mixed Effects Models . . . . . . . 132
6.5 Linear Mixed Effects Models . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
x Contents
6.5.1 State Space Representations of Linear Mixed Effects

Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
6.5.2 Steps for Modified Kalman Filter . . . . . . . . . . . . . . . . . . . 136
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
Chapter 1
Longitudinal Data and Linear Mixed
Effects Models
Abstract Longitudinal data are measurements or observations taken from multiple

subjects repeatedly over time. The main theme of this book is to describe autore-
gressive linear mixed effects models for longitudinal data analysis. This model is an
extension of linear mixed effects models and autoregressive models. This chapter
introduces longitudinal data and linear mixed effects models before the main theme
in the following chapters. Linear mixed effects models are popularly used for the
analysis of longitudinal data of a continuous response variable. They are an exten-
sion of linear models by including random effects and variance covariance structures
for random errors. Marginal models, which do not include random effects, are also
introduced in the same framework. This chapter explains examples of popular lin-
ear mixed effects models and marginal models: means at each time point with a
random intercept, means at each time point with an unstructured variance covari-
ance, and linear time trend models with a random intercept and a random slope.
The corresponding examples of group comparisons are also provided. This chapter
also discusses the details of mean structures and variance covariance structures and
provides estimation methods based on maximum likelihood and restricted maximum
likelihood.
Keywords Linear mixed effects model · Longitudinal · Maximum likelihood

Random effect · Unbalanced data
1.1 Longitudinal Data
Longitudinal data are measurements or observations taken from multiple subjects

repeatedly over time. If multiple response variables are measured, the data are called
multivariate longitudinal data. There are several interests to perform longitudinal data
analysis, including changes in the response variable over time, differences in changes
by factor or covariate, and relationships between changes in multiple response vari-
ables. Because measurements from the same subjects are not independent, analytical
methods that take account of the correlation or variance covariance between repeated
© The Author(s), under exclusive licence to Springer Nature Singapore Pte Ltd. 2018 1
I. Funatogawa and T. Funatogawa, Longitudinal Data Analysis, JSS Research Series
in Statistics, https://doi.org/10.1007/978-981-10-0077-5_1
2 1 Longitudinal Data and Linear Mixed Effects Models
measures have been developed. For a continuous response variable, linear mixed
effects models are often applied, and this model treats differences across subjects
as random effects. In the 1980s, seminal papers about linear mixed effects mod-
els were published, such as that by Laird and Ware (1982). Since the 1990s, books
about longitudinal data analysis have been published and statistical software has been
developed. This book discusses the analysis of continuous response variables.
Analytical methods differ depending on the study designs. This can be illustrated
by three study designs with 100 blood pressure measurements. If the data were
measured once from 100 subjects, analytical methods such as t test or regression
analysis are used. If the data were measured 100 times from one subject, analytical
methods for time series data are used. If the data were repeatedly measured five times
from 20 subjects, analytical methods for longitudinal data are used.
Figure 1.1a shows an example of longitudinal data which are hypothetical data
from a randomized controlled trial (RCT). The solid and dotted lines indicate the
changes in a response variable for each subject in two groups. In an RCT, groups
such as a new treatment and placebo are randomly assigned to each subject. Then the
distributions of the response variable at the randomization, baseline, are expected
to be the same between the two groups. We compare the response variable after
the randomization. The randomization guarantees comparability between groups, or
internal validity. Especially, it is important that the distributions of unknown con-
founders will be the same between groups. This is a strong point of RCTs compared
with observational studies. In observational studies, adjustment of confounding is
important and we cannot adjust unknown confounders. This book covers RCTs and
experimental studies rather than observational studies.
Figure 1.1b shows an example of time series data. Time series data usually have
a large number of time points. Typical longitudinal data have a large or moderate
(a) (b)
140
Nikkei average closing price (10,000 yen)

1.65
120
1.6
100
1.55
Y
80
1.5
60
1.45
40
0 1 2 3 0 10 20 30 40 50 60 70
t day
Fig. 1.1 a Hypothetical longitudinal data from a randomized controlled trial to compare two groups.
Solid and dotted lines indicate changes in a response variable for each subject in two groups. b Time
series data of Nikkei average closing price
1.1 Longitudinal Data 3
number of subjects but a limited number of time points. There are also various cases
of longitudinal data such as data with a large number of subjects and a large number
of time points or data with a limited number of subjects and a large number of time
points.
Since the 1990s, many books on longitudinal data analysis have been published.
These include Diggle et al. (1994, 1st edn.), Diggle et al. (2002, 2nd edn.), Dwyer
et al. (1992), Fitzmaurice et al. (2004, 1st edn.; 2011, 2nd edn.), Fitzmaurice et al.
(2009), Gregoire et al. (1997), Hand and Crowder (1996), Jones (1993), Laird (2004),
Littell et al. (1996, 1st edn.), Littell et al. (2006, 2nd edn.), Tango (2017), Verbeke and
Molenberghs (1997, 2000), Vonesh (2012), Wu and Zhang (2006), and Zimmerman
and Núñez-Antón (2010). The feature of this book is to discuss mainly autoregressive
linear mixed effects models which are rarely introduced in other books.
Section 1.2 introduces linear mixed effects models and marginal models.
Section 1.3 provides specific examples of these models. Section 1.4 shows mean
structures and variance covariance structures generally used. Section 1.5 discusses
the inference based on maximum likelihood.
1.2 Linear Mixed Effects Models
Linear mixed effects models are used for the analysis of longitudinal data of contin-
T
uous response variables. Let Yi Yi1 , Yi2 , · · · , Yini be the vector of the response
corresponding to the ith (i 1, · · · , N ) subject measured from 1 to ni occasions. Yij
is the jth measurement. AT denotes the transpose of A. Linear mixed effects models
are expressed by
Yi Xi β + Zi bi + εi , (1.2.1)
where β is a p × 1 vector of unknown fixed effects parameters, Xi is a known ni × p

design matrix for fixed effects, bi is a q × 1 vector of unknown random effects
parameters, Zi is a known ni × q design matrix for random effects, and εi is a ni × 1
T
vector of random errors, εi εi1 , εi2 , · · · , εini . It is assumed that bi and εi are
both independent across subjects and independently follow a multivariate normal
distribution with the mean zero vector, 0, and variance covariance matrices G and
Ri , respectively. The distributions are expressed by
bi ∼ MVN(0, G), (1.2.2)

εi ∼ MVN(0, Ri ), (1.2.3)
where G is a q × q square matrix and Ri is an ni × ni square matrix. In these matrices,

the diagonal elements are variance and the non-diagonal elements are covariance.
These matrices include unknown parameters and are assumed to be some structures.
Responses from different subjects are assumed to be independent.
Following the above assumptions, the marginal distribution of Yi is a multivariate

normal distribution. The mean vector is the marginal expectation E(Yi ) Xi β, and
the variance covariance matrix Vi Var(Yi ) is
Vi Var(Zi bi + εi ) Zi GZTi + Ri . (1.2.4)
The distribution is expressed by
Yi ∼ MVN(Xi β, Vi ), (1.2.5)
where Vi is an ni × ni square matrix. The E(Yi ) and the expectation for a typical
subject with bi 0, E(Yi |bi 0), are the same.
Correlations and unequal variances across responses are now allowed. Inclusion
of random effects and structures of a variance covariance matrix are extensions of
linear models. In linear models, the variance covariance matrix is usually assumed
to be an independent structure with equal variances.
The term “mixed effects” means including both fixed effects and random effects.
However, the models that assume some particular structures on Ri without random
effects, Vi Ri instead of Vi Zi GZTi + Ri , are also discussed in the framework
of linear mixed effects models. The models are
Yi Xi β + εi , (1.2.6)
where εi ∼ MVN(0, Ri ), E(Yi ) Xi β, and Var(Yi ) Ri . They are called marginal

models. In marginal models, we model the marginal expectation of the response,
E(Yi ), marginal variance, and correlation. We can define a multivariate normal dis-
tribution by the mean structure as the first moment and variance covariance structure
as the second moment. Linear mixed effects models can be transformed to marginal
models as (1.2.5). For discrete responses, such as binary and count data, however,
higher moments are required to define likelihood, and the generalized estimating
equation (GEE) is often used for marginal models. Furthermore, the interpretation
of fixed effects parameters β differs between mixed effects models and marginal
models.
1.3 Examples of Linear Mixed Effects Models
This section provides several specific linear mixed effects models and marginal mod-
els, which are simple and widely used. These include means at each time point with
a random intercept, means at each time point with an unstructured (UN) variance
covariance, and linear time trend models with a random intercept and a random slope.
Examples of these models for group comparisons are also provided.
1.3 Examples of Linear Mixed Effects Models 5
1.3.1 Means at Each Time Point with Random Intercept
In clinical trials and experimental studies, observation time points are often designed
to be the same across subjects. Time intervals between observations are not necessary
to be equal. If the observation time points are the same, we use the following model
with means at each time point with a random intercept,
⎧
⎪
⎪ Yij μj + bi + εij
⎨
bi ∼ N 0, σG2 . (1.3.1)
⎪
⎪
⎩ ε ∼ N 0, σ 2
ij ε
Here, μj is the mean at the jth (j 1, · · · , J ) time point. bi is a random intercept for
the ith subject. It is assumed that bi and a random error, εij , independently follow a
normal distribution with the mean zero and the variances σG2 and σε2 , respectively.
In the case of four time points, the model for the response, Yi , and the variance
covariance matrix of the response vector, Vi Var(Yi ), are
⎛ ⎞ ⎛ ⎞⎛ ⎞ ⎛ ⎞ ⎛ ⎞
Yi1 1000 μ1 1 εi1
⎜Y ⎟ ⎜ ⎟ ⎜ ⎟ ⎜ ⎟ ⎜
⎜ i2 ⎟ μ
0 1 0 0 ⎟⎜ 2 ⎟ ⎜ 1 ⎟ εi2 ⎟
Yi ⎜ ⎟ ⎜ ⎝ ⎠ ⎜ ⎟ + ⎝ ⎠bi + ⎜ ⎝
⎟,
⎝ Yi3 ⎠ 0 0 1 0 ⎝ μ3 ⎠ 1 εi3 ⎠
Yi4 0001 μ4 1 εi4
Vi Zi GZTi + Ri
Zi GZTi + σε2 Ini
⎛ ⎞ ⎛ ⎞
1 1000
⎜ 1 ⎟ 2 ⎜
2⎜ 0 1 0 0 ⎟
⎟
⎜ ⎟
⎝ 1 ⎠σG 1 1 1 1 + σε ⎝ 0 0 1 0 ⎠
1 0001
⎛ ⎞
σG2 σG2 σG2 σG2 ⎛ ⎞
⎜ ⎟ 1000
⎜σ2 σ2 σ2 σ2 ⎟ ⎜0 1 0 0⎟
⎜ G G G G⎟
⎜ ⎟ + σε2 ⎜⎝0 0 1 0⎠
⎟
⎜σ σ σ σ ⎟
2 2 2 2
⎝ G G G G⎠
0001
σG2 σG2 σG2 σG2
⎛ ⎞
σG2 + σε2 σG2 σG2 σG2
⎜ ⎟
⎜ σ2 σ2 + σ2 σ2 σG2 ⎟
⎜ G G ε G ⎟
⎜ ⎟.
⎜ σ2 σ 2
σ 2
+ σ 2
σ 2 ⎟
⎝ G G G ε G ⎠
σG2
σG 2
σG σG + σε
2 2 2
(a) (b)
Fig. 1.2 a Data for selected subjects from schizophrenia trial data. b Means at each time point with
a random intercept. Estimated means (thick line with closed circles) and predicted values for each
subject (thin lines)
Here, Ia denotes an a × a identity matrix. The variance covariance structure, Zi GZTi ,

induced by a random intercept, is a square matrix with all the same elements, σG2 .
The variance covariance matrix of the random error vector, σε2 Ini , is added on to
this matrix for Vi Var(Yi ). The diagonal elements of Vi are σG2 + σε2 and the
non-diagonal elements are σG2 . σG2 is called between-subject variance, inter-subject
variance, or inter-individual variance. σε2 is called within-subject variance, intra-
subject variance, or intra-individual variance.
Figure 1.2a shows longitudinal data for selected subjects from schizophrenia trial
data in Diggle et al. (2002). We analyze the data in Chap. 3. Figure 1.2b shows an
example using the model (1.3.1). The thick line with closed circles indicates the
estimated means at each time point, μ̂j . The thin lines show the predicted values,
μ̂j + b̂i , for each subject. The individual lines are parallel because a random intercept
means the assumption of mutual parallelism across subjects over time.
The above model, Yij μj + bi + εij , is also expressed in another design matrix
with J − 1 dummy variables, x1j , · · · , xJ −1j . Let xkj 1 if k j − 1 and 0 otherwise.
The model is
Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + bi + εij . (1.3.2)
In the case of four time points, the model is

⎛ ⎞ ⎛ ⎞⎛ β ⎞ ⎛ ⎞ ⎛ ⎞
Yi1 10 0 0 0 1 εi1
⎜Y ⎟ ⎜ ⎜β ⎟ ⎜ ⎟
⎜ i2 ⎟ ⎜ 1 1 0 0⎟ ⎜ ⎟ 1 ⎜ εi2 ⎟
⎟⎜ ⎟ + ⎜ ⎟bi + ⎜ ⎟.
1
⎜ ⎟⎝
⎝ Yi3 ⎠ 10 1 0 ⎠⎝ β2 ⎠ ⎝ 1 ⎠ ⎝ εi3 ⎠
Yi4 10 0 1 β3 1 εi4
Data with the same observation time points without missing values are called
balanced data. Data with different observation time points or data with missing
values are called unbalanced data. Even if there are missing values, we can analyze
all data without removing subjects with missing data. We discuss missing data in
Sect. 3.2.
1.3.2 Group Comparison Based on Means at Each Time

Point with Random Intercept
Here, we consider group comparisons based on the means at each time point with
a random intercept. When there are two groups (A and B), let xgi be an indicator
variable for the group, with xgi 0 in group A and xgi 1 in group B. The linear
mixed effects model with the main effects of time and the group with a random
intercept is
⎧
⎪
⎪ Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + βg xgi + bi + εij
⎨
bi ∼ N 0, σG2 . (1.3.3)
⎪
⎩ ε ∼ N0, σ 2
⎪
ij ε
In the case of four time points, this model is

⎛ ⎞
⎛ ⎞ ⎛ 1 x x x x ⎞ β0 ⎛ ⎞ ⎛ ⎞
Yi1 11 21 31 gi ⎜ ⎟ 1 εi1
⎜ ⎟⎜
⎜ Y ⎟ ⎜ 1 x12 x22 x32 xgi ⎟⎜ ⎟ ⎜ ⎟ β1 ⎟
⎜ i2 ⎟ ⎜ 1 ⎜ εi2 ⎟
⎜ ⎟⎜ ⎟⎜ β2 ⎟ + ⎜ ⎟bi + ⎜ ⎟.
⎝ Yi3 ⎠ ⎝ 1 x13 x23 x33 xgi ⎟ ⎜ ⎟ ⎝1⎠
⎠⎜ β ⎟
⎝ εi3 ⎠
⎝ 3⎠ 1 εi4
Yi4 1 x14 x24 x34 xgi
βg
The design matrices of the fixed effects for groups A and B are
⎛ ⎞ ⎛ ⎞
10 0 0 0 1000 1
⎜1 1 0 0 0⎟ ⎜1 1 0 0 1⎟
Xi ⎜
⎝1 0
⎟ and Xi ⎜ ⎟.
1 0 0⎠ ⎝1 0 1 0 1⎠
10 0 1 0 1001 1
In this case, βg shows the differences between the two groups. The model assumes
that the differences are the same over time. The model may be inadequate in RCTs
in Sect. 1.1 and Fig. 1.1a, because the distributions of baseline at j 1 are expected
to be the same between the groups but the distributions at j > 1 will differ.
When the interaction between time and the group is added because the differences
between groups are not constant over time, the model becomes

Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + βg0 + βg1 x1j + · · · + βgJ −1 xJ −1j xgi + bi + εij .
(1.3.4)
In the case of four time points, Xi for groups A and B and β in the model are
⎛ ⎞ ⎛ ⎞
10000000 10 0 0 1 0 0 0
⎜1 1 0 0 0 0 0 0⎟ ⎜1 1 0 0 1 1 0 0⎟
Xi ⎜ ⎟
⎝ 1 0 1 0 0 0 0 0 ⎠ and Xi ⎝ 1 0
⎜ ⎟,
1 0 1 0 1 0⎠
10010000 10 0 1 1 0 0 1
T
β β0 , β1 , β2 , β3 , βg0 , βg1 , βg2 , βg3 .
In this model, time courses are not assumed to be parallel between the groups.
The expected values at the last time point for groups A and B are

E Yi4 |xgi 0 β0 + β3 ,

E Yi4 |xgi 1 β0 + β3 + βg0 + βg3 .
The expected difference at the last time point between groups A and B is

E Yi4 |xgi 1 − E Yi4 |xgi 0 βg0 + βg3 .
To estimate the difference, we use the following contrast vector, L,

L 00001001 . (1.3.5)
Then, βg0 + βg3 is

T
Lβ 0 0 0 0 1 0 0 1 β0 , β1 , β2 , β3 , βg0 , βg1 , βg2 , βg3
βg0 + βg3 . (1.3.6)
In Sect. 1.5.5, we discuss the estimation and test using contrasts.

Because the distributions of baseline at j 1 are expected to be the same, we can
omit βg0 from (1.3.4) in RCTs. The model is

Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + βg1 x1j + · · · + βgJ −1 xJ −1j xgi + bi + εij .
(1.3.7)
In the case of four time points, Xi for groups A and B and β are
⎛ ⎞ ⎛ ⎞
1 0 0 0 0 0 0 10 0 0 0 0 0
⎜1 1 0 0 0 0 0⎟ ⎜1 1 0 0 1 0 0⎟
Xi ⎜
⎝1
⎟and Xi ⎜ ⎟,
0 1 0 0 0 0⎠ ⎝1 0 1 0 0 1 0⎠
1 0 0 1 0 0 0 10 0 1 0 0 1
T
β β0 , β1 , β2 , β3 , βg1 , βg2 , βg3 .
The difference at the last time point between groups A and B is βg3 .
1.3.3 Means at Each Time Point with Unstructured Variance

Covariance
When there are missing data, the correct specification of the model, including not
only the mean structure but also the variance covariance structure, is important, as
described in more detail in Sect. 3.2. In the previous sections, we introduced means
at each time point with a random intercept. However, the variance covariance struc-
ture expressed by the random intercept assumes a constant variance and a constant
covariance. These assumptions are too restrictive. Means at each time point with an
unstructured (UN) variance covariance are often used recently, because this model
has no constraints on the parameters of the mean structure and variance and covari-
ance components. The model is

Yij μj + εij
. (1.3.8)
εi ∼ MVN(0, RUN i )
Here, μj is the mean at the jth (j 1, · · · , J ) time point, and RUN i is the UN for Ri . It
is assumed that a random error vector, εi , follows a multivariate normal distribution
with the mean zero and the UN, RUN i .
In the case of four time points, the model for the response, Yi , and the variance
covariance matrix of the response vector, Vi Var(Yi ), are
⎛ ⎞ ⎛ ⎞⎛ ⎞ ⎛ ⎞
Yi1 1000 μ1 εi1
⎜Y ⎟ ⎜ ⎟ ⎜μ ⎟ ⎜ε ⎟
⎜ i2 ⎟ 0 1 0 0 ⎟⎜ 2⎟
Yi ⎜ ⎟ ⎜ ⎜ ⎟ + ⎜ ⎟,
i2
⎝ Yi3 ⎠ ⎝ 0 0 1 0 ⎠⎝ μ3 ⎠ ⎝ εi3 ⎠
Yi4 0001 μ4 εi4
⎛ ⎞
σ12 σ12 σ13 σ14
⎜ ⎟
⎜ σ12 σ 2 σ23 σ24 ⎟
⎜ 2 ⎟
Vi Ri ⎜ ⎟.
⎜ σ13 σ23 σ 2 σ34 ⎟
⎝ 3 ⎠
σ14 σ24 σ34 σ42
The UN is not parsimonious, and the number of parameters increases largely when
the number of time points is large.
For the two group comparison, the models corresponding to (1.3.4) and (1.3.7)
are

Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + βg0 + βg1 x1j + · · · + βgJ −1 xJ −1j xgi + εij
,
(1.3.9)

Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + βg1 x1j + · · · + βgJ −1 xJ −1j xgi + εij
.
(1.3.10)
We can assume different UN for each group, but the number of parameters is doubled.
1.3.4 Linear Time Trend Models with Random Intercept

and Random Slope
Linear time trend models are also often assumed for the mean structure and ran-
dom effects. For this assumption, changes per unit time are constant. Let Yij be the
responses corresponding to the jth measurement of the ith (i 1, · · · , N ) subject.
tij is time as a continuous variable. The model is
⎧
⎪
⎪ Yij (β0 + b0i ) + (β1 + b1i )tij + εij
⎪ ⎛
⎪
⎪
⎪ ⎛ ⎞⎞
⎪
⎨ b0i
⎜ 0 ⎝ σG0 σG01 ⎠ ⎟
2
∼ MVN⎝ , ⎠. (1.3.11)
⎪
⎪ b1i 0 σG01 σG1 2
⎪
⎪
⎪
⎪
⎩ ε ∼ N0, σ 2
⎪
ij ε
Here, b0i and b1i are random effects for the intercept and slope for the ith subject,
and are called a random intercept and a random slope, respectively. The random
effects, bi (b0i , b1i )T , are assumed to follow a bivariate normal distribution with
the mean vector 0, variances σG0 2
and σG1
2
, and covariance σG01 . The random intercept
and slope may be assumed to be independent, that is, σG01 0. The variance of a
random error, εij , is σε2 , and random errors are assumed to be mutually independent
and normally distributed.
In the case of four time points, the model and the variance covariance matrix of
the response vector are
⎛ ⎞ ⎛ ⎞ ⎛ ⎞
Yi1 1 ti1 1 ti1 ⎛ εi1 ⎞
⎜Y ⎟ ⎜1 t ⎟ β ⎜1 t ⎟ b ⎜ εi2 ⎟
⎜ i2 ⎟ ⎜ i2 ⎟ 0 ⎜ i2 ⎟ i0
Yi ⎜ ⎟ ⎜ ⎟ +⎜ ⎟ +⎜ ⎟
⎝ εi3 ⎠,
⎝ Yi3 ⎠ ⎝ 1 ti3 ⎠ β1 ⎝ 1 ti3 ⎠ bi1
Yi4 1 ti4 1 ti4 εi4
Vi Zi GZTi + Ri
⎛ ⎞ ⎛ ⎞
1 ti1 ⎛ ⎞ 1 0 0 0
⎜ 1 t ⎟ σ 2 σG01
⎜ i2 ⎟⎝ G0 1 1 1 1 ⎜ 0 1 0 0⎟
⎜ ⎟ ⎠ + σε2 ⎜
⎝0
⎟.
⎝ 1 ti3 ⎠ σG01 σG1
2 ti1 ti2 ti3 ti4 0 1 0⎠
1 ti4 0 0 0 1
The diagonal element at the jth time in Vi , that represents the variance, is
σG0
2
+ 2σG01 tij + σG1
2 2
tij + σε2 .
The non-diagonal element at the j, kth time in Vi , that represents the covariance, is

σG0
2
+ σG01 tij + tik + σG1
2
tij tik .
Based on these equations, when covariate values of random effects are different
across time points,
tij tik for j k, the variance is also different across time
points, Var Yij Var(Yik ), unless σG1 2
0 and σG01 0. The covariance also
depends on the time.
When the time tij is the same across subjects, tij tj , the variance covariance
structure is the same across subjects and it is included in the UN. When the time tij
differ across subjects, the variance covariance structure differs across subjects and it
is not included in the UN.
Figure 1.3a shows a linear time trend model with a random intercept. We assume a
2
fixed slope (σG1 0, bi1 0). Intercepts are different across subjects but the slopes
are the same. Figure 1.3b shows a linear time trend model with a random intercept
and a random slope. The variance in response increases with time. In some cases,
the variance decreases with time within the observation period.
This model shows a linear time trend and is called a growth curve model. Models
with a quadratic equation of time or higher order equations are also called growth
curve models. These curves show nonlinear changes according to time but are linear
in parameters. In contrast, nonlinear curves such as Gompertz curves and logistic
curves show nonlinear changes according to time and are nonlinear in parameters.
We discuss nonlinear growth curves further in Chap. 5. Furthermore, growth curves
for child development, such as height, weight, and body mass index (BMI), are
estimated by other methods.
(a) (b)
Fig. 1.3 a Linear time trend model with a random intercept. b Linear time trend model with a
random intercept and a random slope. Estimated means (thick line with closed circles) and predicted
values for each subject (thin lines)
1.3.5 Group Comparison Based on Linear Time Trend

Models with Random Intercept and Random Slope
This section shows group comparisons based on the linear time trend model (1.3.11).
Consider models in which the covariates include time as a continuous variable, the
group as a qualitative variable, and an interaction of time and the group. When there
are two groups, groups A and B, let xgi be an indicator variable for the group, with
xgi 0 in group A and xgi 1 in group B. The linear mixed effects model with the
interaction is
⎧
⎪
⎪ Yij β0 + βg0 xgi + b0i + β1 + βg1 xgi + b1i tij + εij
⎪
⎪
⎪
⎪ ⎛ ⎛ ⎞⎞
⎪
⎪
⎨ b σ 2
σ
0i ⎜ 0 ⎝ G0 G01 ⎠ ⎟
∼ MVN⎝ , ⎠ . (1.3.12)
⎪
⎪ b 0 σ σ 2
⎪
⎪
1i G01 G1
⎪
⎪
⎪
⎪
⎩ εij ∼ N 0, σ 2
ε
For group A, the intercept is β0 and the slope is β1 . For group B, the intercept is
β0 + βg0 , the slope is β1 + βg1 . The coefficient of xgi tij , βg1 , is the interaction term
between time and the group, and shows the difference in the slopes between the
groups. In the case of four time points, the model is
⎛ ⎞ ⎛1 ⎞⎛ ⎞ ⎛ ⎞
Yi1 xgi ti1 xgi ti1 β0 1 ti1 ⎛ εi1 ⎞
⎜Y ⎟ ⎜ ⎟⎜ ⎟
xgi ti2 xgi ti2 ⎟⎜ βg0 ⎟ ⎜ 1 ti2 ⎟
⎜ i2 ⎟ ⎜ 1
⎟+⎜ ⎟ bi0 ⎜ εi2 ⎟
⎜ ⎟⎜ ⎜
⎟⎜
⎟ ⎜ ⎟ ⎜ ⎟ +⎜ ⎟
⎝ εi3 ⎠.
⎝ Yi3 ⎠ ⎝ 1 xgi ti3 xgi ti3 ⎠⎝ β1 ⎠ ⎝ 1 ti3 ⎠ bi1
Yi4 1 xgi ti4 xgi ti4 βg1 1 ti4 εi4
The design matrices for the fixed effects of groups A and B are
⎛ ⎞ ⎛ ⎞
1 0 ti1 0 1 1 ti1 ti1
⎜1 0 t 0⎟ ⎜1 1 t t ⎟
⎜ i2 ⎟ ⎜ i2 i2 ⎟
Xi ⎜ ⎟ and Xi ⎜ ⎟.
⎝ 1 0 ti3 0 ⎠ ⎝ 1 1 ti3 ti3 ⎠
1 0 ti4 0 1 1 ti4 ti4
Here, the variance covariance parameters, σG0 2

, σG1
2
, σG01 , and σε2 are assumed to be
the same between groups. These can also be assumed to be different between groups.
The slope is often considered a summary measure and is used for group compar-
isons. Methods to estimate and test the difference in slopes, βg1 , have been inten-
sively studied focusing on missing data and dropouts since the late 1980s. In contrast,
the asymptote or equilibrium is used in autoregressive linear mixed effects models,
and these are potentially useful interpretable summary measures. Funatogawa et al.
(2008) studied the estimation of asymptotes focusing on missing data.
1.4 Mean Structures and Variance Covariance Structures
Section 1.3 provides several specific linear mixed effects models that are widely used.
This section discusses details of mean structures and variance covariance structures
including variable transformation.
1.4.1 Mean Structures
Let μij be the mean at the jth time of the ith subject. The mean structure of the model
with means at each time point as shown in Sect. 1.3.1 is μij μj , and the number of
parameters increases with the number of time points. In the linear time trend model
shown in Sect. 1.3.4, μij β0 + β1 tij , the number of parameters is two: the intercept
and slope. A quadratic time trend is
μij β0 + β1 tij + β2 tij2 .

A quadratic equation has a maximum or minimum value, β0 − β12 /(2β2 ), at the

time, tij −β1 /2β2 . After this point, the response changes from an increase to
a decrease, or from a decrease to an increase, so that changes are not monotonic.
However, sometimes this is not a reasonable assumption, and the fit is not good for
later data points. Not only linear or quadratic equations of time but also higher order
polynomials of time are used. The lth order polynomial is

l
μij βk tijk β0 + β1 tij + β2 tij2 + · · · + βl tijl .
k0
A piecewise linear function has linear trends and slope changes at some breakpoints.
In regression analysis, after transformation of a response variable or an explana-
tory variable, linear models may provide a good fit. Log transformation, y log y,
is often used if the response variable follows a log normal distribution; a logarithm
of the response follows a normal distribution. In the area of pharmacokinetics, drug
concentrations follow right heavy-tailed distributions, and log transformation is often
used. When the variance depends on the mean, log transformation is used in order
to stabilize the variance.
The Box–Cox transformation is
yλ − 1
y(λ) , (λ 0),
λ
y(λ) log y, (λ 0).
Here, the following formula holds:
yλ − 1
lim log y.
λ→0 λ
In some cases, frameworks other than linear mixed effects models are more suit-
able. Autoregressive linear mixed effects models are discussed in the following
chapters. Nonlinear mixed effects models are discussed in Chap. 5. Nonparamet-
ric regression analysis and smoothing methods are also used.
1.4.2 Variance Covariance Structures
This section discusses variance covariance structures in detail. Table 1.1 shows sev-
eral variance covariance structures in the case of four time points. The variance
covariance matrix of the response vector Yi is Vi Zi GZTi +Ri where Zi GZTi and Ri
are induced by random effects and random errors, respectively. Variance covariance
structures induced by a random intercept are shown in Sect. 1.3.1. The unstructured
(UN) is shown in Sect. 1.3.3. Variance covariance structures induced by a random
1.4 Mean Structures and Variance Covariance Structures 15
intercept and a random slope are shown in Sect. 1.3.4. The variance
covariance
struc-
ture induced by a random intercept and a random slope with t1 t2 t3 t4 0 1 2 3
is given in Table 1.1o. Structures popularly used are independent equal variances,
UN, compound symmetry (CS), and first-order autoregressive (AR(1)).
The structure with independent equal variances is used together with random
effects. Since data measured from the same subject are usually correlated, the inde-
pendent structure is not used alone but used together with random effects that account
for correlations within a subject. When used with random effects, it is called condi-
tional independence given random effects. The independent structure with unequal
variances is also used.
The UN structure has no constraints on variance or covariance parameters.
Although this assumption is not strict, the UN is not parsimonious and inefficient.
The number of the parameters is large as the number of time points is large. When
the number of time points is ni , the number of parameters is ni (ni + 1)/2. When the
time points increase from ni to ni + 1, the number of parameters increases by ni + 1.
The CS is also called exchangeable. This structure has two parameters, variance
σ2 and covariance σ1 , which are the same across time points. With other parameters,
variance and correlation ρ are the same across time points, respectively. The corre-
lation ρ σ1 /σ2 is called the intra-class correlation coefficient. The CS includes the
structure induced by a random intercept and independent random errors as shown in
Sect. 1.3.1. The diagonal elements are the sum of the between-subject variance and
the within-subject variance, and non-diagonal elements are the between-subject vari-
ance. Although this structure constrains the covariance and correlation to be positive,
these of the CS can be negative. It is a narrower structure compared with CS. The
heterogeneous CS (CSH) structure has a CS correlation structure and heterogeneous
variances across time points.
The AR(1) structure has a typical serial correlation where the correlation decreases
as the time interval increases. The heterogeneous AR(1) (ARH(1)) structure has
an AR(1) correlation and heterogeneous variances across time points. The AR(1)
structure for Ri , RAR i , is used in three ways: random errors alone as Vi RAR i ,
with random effects as Vi Zi GZTi + RAR i , or with random effects and independent
errors as Vi Zi GZTi + RAR i + σ 2 Ini . There are several approaches to use random
effects, serial correlations, and independent errors simultaneously (Diggle 1988;
Heitjan 1991; Jones 1993; Funatogawa et al. 2007; Funatogawa et al. 2008). Jones
(1993) used serial correlations for continuous time.
The Toeplitz structure has homogeneous variances across time points and homo-
geneous covariances for equal time distance. The heterogeneous Toeplitz structure
has a Toeplitz correlation structure and heterogeneous variances across time points.
The j, kth element is σj σk ρ|j−k| . The two-band Toeplitz structure constrains covari-
ances to be 0 if the time differs over two points. The similar structure is used in
autoregressive linear mixed effects models as shown in Sect. 2.4.1 and Table 2.3a to
take measurement errors into account.
Kenward (1987) used the first-order ante-dependence (ANTE(1)). The j, kth ele-
ment is
Table 1.1 Variance covariance structures for four time points

(a) Independent equal variances (b) Independent unequal variances
⎛ ⎞ ⎛ ⎞
1000 σ2 0 0 0
⎜0 1 0 0⎟ ⎜ 1 ⎟
⎜ ⎟ ⎜ ⎟
σ 2⎜ ⎟ ⎜ 0 σ22 0 0 ⎟
⎝0 0 1 0⎠ ⎜ ⎟
⎜ ⎟
0001 ⎜ 0 0 σ32 0 ⎟
⎝ ⎠
0 0 0 σ42
(c) Unstructured: UN (d) Random intercept

⎛ ⎞ ⎛ ⎞
σ12 σ12 σ13 σ14 σG2 σG2 σG2 σG2
⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ 2 2 2 2⎟
⎜ σ12 σ22 σ23 σ24 ⎟ ⎜ σG σG σG σG ⎟
⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ 2 2 2 2⎟
⎜ σ13 σ23 σ32 σ34 ⎟ ⎜ σG σG σG σG ⎟
⎝ ⎠ ⎝ ⎠
σ14 σ24 σ34 σ42 σG2 σG2 σG2 σG2
(e) Random intercept and independent (f) Compound symmetry: CS,

equal variances, inter- and intra-variances variance
⎛ and covariance
⎞
⎛ ⎞
σG2 + σε2 σG2 σG2 σG2 σ 2 σ1 σ1 σ1
⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ σ σ2 σ σ ⎟
⎜ σG2 σG2 + σε2 σG2 σG2 ⎟ ⎜ 1 1 1⎟
⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ σ1 σ1 σ 2 σ1 ⎟
⎜ σG2 σG2 σG2 + σε2 σG2 ⎟ ⎝ ⎠
⎝ ⎠
σ1 σ1 σ1 σ 2
σG2 σG2 σG2 σG2 + σε2
(g)⎛CS, variance
⎞ and correlation (h) Heterogeneous CS: CSH
⎛ ⎞
1 ρ ρ ρ σ12 σ1 σ2 ρ σ1 σ3 ρ σ1 σ4 ρ
⎜ ⎟ ⎜ ⎟
⎜ρ 1 ρ ρ ⎟ ⎜ ⎟
σ 2⎜
⎜ρ ρ 1 ρ ⎟
⎟ ⎜ σ1 σ2 ρ σ22 σ2 σ3 ρ σ2 σ4 ρ ⎟
⎜ ⎟
⎝ ⎠ ⎜ ⎟
⎜ σ1 σ3 ρ σ2 σ3 ρ σ32 σ3 σ4 ρ ⎟
ρ ρ ρ 1 ⎝ ⎠
σ1 σ4 ρ σ2 σ4 ρ σ3 σ4 ρ σ42
(i) First-order autoregressive: AR(1) (j) Heterogeneous AR(1): ARH(1)

⎛ ⎞ ⎛ ⎞
1 ρ ρ2 ρ3 σ12 σ1 σ2 ρ σ1 σ3 ρ 2 σ1 σ4 ρ 3
⎜ ⎟ ⎜ ⎟
⎜ ρ 1 ρ ρ2 ⎟ ⎜ ⎟
⎜ ⎟ ⎜ σ1 σ2 ρ σ22 σ2 σ3 ρ σ2 σ4 ρ 2 ⎟
σ 2⎜ ⎟ ⎜ ⎟
⎜ ρ2 ρ 1 ρ ⎟ ⎜ ⎟
⎝ ⎠ ⎜ σ1 σ3 ρ 2 σ2 σ3 ρ σ32 σ3 σ4 ρ ⎟
⎝ ⎠
ρ3 ρ2 ρ 1 σ1 σ4 ρ 3 σ2 σ4 ρ 2 σ3 σ4 ρ σ42
(k) Toeplitz (l) Heterogeneous Toeplitz

⎛ ⎞ ⎛ ⎞
σ 2 σ1 σ2 σ3 σ12 σ1 σ2 ρ1 σ1 σ3 ρ2 σ1 σ4 ρ3
⎜ ⎟ ⎜ ⎟
⎜ σ σ2 σ σ ⎟ ⎜ ⎟
⎜ 1 1 2 ⎟ ⎜ σ1 σ2 ρ1 σ22 σ2 σ3 ρ1 σ2 σ4 ρ2 ⎟
⎜ ⎟ ⎜ ⎟
⎜ σ2 σ1 σ 2 σ1 ⎟ ⎜ ⎟
⎝ ⎠ ⎜ σ1 σ3 ρ2 σ2 σ3 ρ1 σ32 σ3 σ4 ρ1 ⎟
⎝ ⎠
σ3 σ2 σ1 σ 2
σ1 σ4 ρ3 σ2 σ4 ρ2 σ3 σ4 ρ1 σ42
(continued)
1.4 Mean Structures and Variance Covariance Structures 17
Table 1.1 (continued)

(m) Two-band Toeplitz (n) First-order ante-dependence: ANTE(1)a
⎛ ⎞ ⎛ ⎞
σ 2 σ1 0 0 σ 2 σ1 σ2 ρ1 σ1 σ3 ρ1 ρ2 σ1 σ4 ρ1 ρ2 ρ3
⎜ ⎟ ⎜ 1 ⎟
⎜ σ σ2 σ 0 ⎟ ⎜ ⎟
⎜ 1 1 ⎟ ⎜ σ22 σ2 σ3 ρ2 σ2 σ4 ρ2 ρ3 ⎟
⎜ ⎟ ⎜ ⎟
⎜ 0 σ1 σ 2 σ1 ⎟ ⎜ ⎟
⎝ ⎠ ⎜ σ32 σ3 σ4 ρ3 ⎟
⎝ ⎠
0 0 σ1 σ 2
σ42

(o) Random intercept and random slope with t1 t2 t3 t4 0 1 2 3 a
⎛ ⎞
σG0
2 σG0
2 +σ
G01 σG0
2 + 2σ
G01 σG0
2 + 3σ
G01
⎜ ⎟
⎜ 2 ⎟
⎜ σG0
2 + 2σ
G01 + σG1 σG0 + 3σG01 + 2σG1 σG0 + 4σG01 + 3σG1 ⎟
2 2 2 2
⎜ ⎟
⎜ 2 ⎟
⎜ σG0
2 + 4σ
G01 + 4σG1 σG0 + 5σG01 + 6σG1 ⎟
2 2
⎝ ⎠
σG0
2 + 6σ
G01 + 9σG1
2
a Lower triangular elements are omitted

k−1
σj σk ρl .
lj
When the number of time points is ni , the number of parameters is 2ni − 1. The
ANTE(1) is non-stationary, where the variances are not constant across time points
and the correlations depend on time points. In contrast, the AR(1), CS, and Toeplitz
are stationary, where the variances are constant across time points and the correlations
depend on only time distance.
Variance covariance structures using a stochastic process are applied. In the Orn-
stein–Uhlenbeck process (OU process), the variance and covariance between Y (s)
and Y (t) are
Cov(Y (s), Y (t)) σ 2 (2α)−1 e−α|t−s| .
This continuous time process corresponds to AR(1) for discrete time with ρ
e−α . The following process that integrates the OU process is called the integrated
Ornstein–Uhlenbeck process (IOU process),
t
W (t) Y (u)du.
0
The variance of W (t) and the covariance between W (s) and W (t) are

Var(W (t)) σ 2 α −3 αt + e−αt − 1 ,
−1
Cov(W (s), W (t)) σ 2 2α 3 2α min(s, t) + e−αt + e−αs − 1 − e−α|t−s| .
Taylor et al. (1994) and Taylor and Law (1998) used the IOU process and Sy et al.
(1997) used the bivariate extension.
Variance covariance matrices are sometimes assumed to be different across levels
of a factor such as a group. If there are two groups, the number of parameters increases
by two times. Results of statistical tests or estimation may largely depend on this
assumption. The unequal variances in the analysis of covariance are discussed in
Funatogawa et al. (2011) and Funatogawa and Funatogawa (2011).
1.5 Inference
1.5.1 Maximum Likelihood Method
For the estimation of linear mixed effects models, maximum likelihood (ML) meth-
ods are often used. For simplicity, this section first explains likelihood for indepen-
dent data. Let Y follow a normal distribution with the mean μ and variance σ 2 . The
probability density function of Y is

1 1 Y −μ 2
f (Y ) √ exp − . (1.5.1)
2π σ 2 2 σ
The probability
density
function is a function of a random variable Y given the
parameters μ, σ 2 . It shows what value of Y tends to occur. Now, let Y1 , · · · , YN be
N random variables that follow independently an identical normal distribution with
the mean μ and variance σ 2 . Then, the probability density function of Y1 , · · · , YN is

N
1 1 Yi − μ 2
f (Y1 , · · · , YN ) √ exp − . (1.5.2)
i1 2π σ 2 2 σ
Because of the independent variables, this is a simple multiplication of the above

probability density function. The likelihood function is algebraically
the same as the
probability density function, but a function of parameters μ, σ 2 given the data,
Y1 , · · · , YN . The ML method maximizes the log-likelihood (ll) for the estimation of
unknown parameters. The log-likelihood is
N
N N 1 Yi − μ 2
llML − log(2π ) − log σ −
2
. (1.5.3)
2 2 2 i1 σ
Minus two times log-likelihood (−2ll) is used for the calculation,

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the seat of visible lesions. There may be pallor, œdema and swelling,
but not unfrequently there are blood extravasations varying in size
from a pin’s head upward and giving a dark red aspect to the affected
tissues. Under the microscope the affected fibres are seen to have
lost their transverse striation and to have assumed a more or less
granular or hyaline appearance. Next to the gluteal muscles, these
changes are frequently found, in the muscles of the thigh (especially
the rectus femoris, and triceps extensor cruris), and in those of the
loins (psoas, ilio-spinalis, and longissimus dorsi). Exceptionally the
pectoral muscles are involved or even the abdominal muscles. A
considerable straw-colored œdema may be found in the
intermuscular connective tissue.
The red bone marrow primarily of the large bones of the limbs
(femur, tibia, humerus, radius,) and less frequently of other bones,
even of the vertebræ, is often the seat of intense vascular congestion
and even of hemorrhage. The medullary matter is of a deep red or
black color, and there is an abnormal accumulation of red globules in
various conditions of growth and destruction (red nucleated
corpuscles, fragments of corpuscles, colored granules). Dieckerhoff
considers the condition one of osteomyelitis, but it seems to be
rather a sudden, extraordinary exaggeration of the processes of blood
metamorphosis. Neumann found that when the blood regeneration
process is very active even the yellow marrow may be changed into
red, and this throughout all the bones of the extremities.
The kidneys are usually the seat of congestion, and black spots of
infarction, when the disease has lasted for twenty-four hours. In
rapidly fatal cases they may appear normal. There may be
enlargement of the kidneys with softening and granular degeneration
of the renal epithelium in cases that survive for some days.
The bladder contains dark brown or red glairy urine of a high
density and loaded with urea, hæmoglobin, etc.
The terminal portion of the spinal cord and the lumbo-sacral
plexus, or some of its branches, are sometimes blood stained, or the
seat of an exudate or surrounded by one.
Symptoms. In the regular type of hæmoglobinæmia in the horse
the history of the attack is highly significant. The subject is in good
working condition, he may be fat, or lean, but in either case the
muscles are firm and well developed, diet has been liberal,
embracing a large proportion of albuminoids, work has been
constant up to within a day or two preceding the attack, when the
animal has been left absolutely idle in the stall without any reduction
of feed. Then finally it has been suddenly subjected to active exertion
which demands vigorous muscular movement, and above all activity
of the respiratory muscles and the heart. This exertion usually
consists in riding under the saddle or going in harness, but may
attend on casting in the stall, lounging in a ring, or in a playful run
when suddenly set at liberty.
Severe Cases. The attack comes on early in the course of such
exercise. The patient may not have gone more than one hundred
yards from the stable or he may have traveled for half an hour or an
hour, but the disease rarely shows itself after a longer period of work.
The horse which left the stable full of life and spirit, suddenly flags
and hangs on the bit, the ears or head may drop, and one or more
limbs usually the hind ones, are moved stiffly and awkwardly, or
even stagger. He knuckles over at the fetlocks, drags the toes on the
ground, flexes the joints imperfectly, the muscles appearing to be
rigid and uncontrollable, or he crouches, the joints remaining
semiflexed the animal in vain attempting to extend them. The patient
trembles violently, sweats profusely, breathes deeply and rapidly and
assumes a pinched, anxious, agonized expression of countenance.
The heart beats tumultuously, the pulse (in 84 per cent. Friedberger
and Fröhner) is accelerated to a variable degree, and the temperature
is still normal (in 80 per cent. Friedberger and Fröhner), or rarely
exceeds 101.5°F. There is often tenderness on percussion and
sometimes even on manipulation over the loins, short ribs, and the
croup, and pinching of the loins may cause wincing. The affected
muscle or muscles (lumbar, gluteal, crural) are usually firm, hard
and tender, they may be the seat of spasm or of œdema and paresis.
These parts may, however, have their sensitiveness lessened and
even punctures or electric currents may have little effect on them.
Soon the increasing muscular weakness is incompatible with the
maintenance of the standing position, the bending of the limbs and
crouching become extreme, the animal makes vain efforts to control
the muscles and extend the joints, and helplessly drops to the
ground. When down he moves his legs convulsively, but is unable to
coördinate the muscular movements and all efforts to rise are
unavailing.
The spasms and paresis may attack other parts of the body such as
the pectoral region the shoulders and even the abdomen, but the
earliest and most persistent disorder is usually in the divisions of the
lumbo-sacral plexus affecting the supra or sublumbar muscles, the
gluteals, the patellar (triceps,) the adductors and the abductors. The
caudal muscles are exceptionally involved. In a series of ten cases
Bouley noticed that the left hind limb was always the first paralyzed
(evidently a simple coincidence).
Urine may be passed freely or the bladder may be paretic so that it
must be emptied with the catheter. In severe cases the urine is of a
high density and of a dirty brownish gray, red or almost black color.
It contains no blood clots, nor blood globules, but granular
hæmoglobin, tyrosin and other waste products contribute to produce
the reddish color. In some instances there is an abundant
metalbumen which renders the liquid glairy, causing it to fall in fine
threads or films. Urea is usually present in great excess. Hippuric
and even uric acid are usually present but not in excess. When the
disease has advanced to nephritis the albuminuria is complicated by
the presence of casts of the uriniferous tubes, renal epithelium, white
and even red blood globules.
During the violence of the attack there is no disposition nor leisure
to eat, but when the more violent symptoms abate appetite is usually
manifested. There may be more or less paresis of both bowels and
bladder, so that neither fæces nor urine is passed yet in other cases
both are discharged spontaneously.
The senses are preserved, excepting in the case of the affected
muscles and the integument which covers them. There may,
however, be more or less dullness and stupor in certain cases from
poisoning of the cerebral centres by the poisons circulating in the
blood.
Mild Cases. In the mildest cases there is stiffness and lameness
in one, or less frequently in both hind limbs, coming on when put to
work after a period of idleness, and not associated with any
appreciable lesion of the limb in question. There may or may not be
hardness and swelling of the gluteal or other muscles of the quarter
or loins. This has the appearance of rigidity or spasm but may be
primarily due to œdema or exudation into the substance of the
muscle. In some instances the muscles of the breast, shoulder, or
forearm are the seat of the trouble. Muscular trembling and
perspiration may be present and if the urine is examined, it is often
found to be glairy, or charged with urea, and allied nitrogenous
products. These cases are not benefited by local applications, but
they recover (temporarily) under rest and above all under active
eliminating treatment. Under gentle and progressive exercise too
they improve and get well. They recur, however, with great readiness
under a rich nitrogenous diet and a temporary rest followed by
sudden exertion.
Between the mildest and gravest cases there are infinite gradations
of severity, one-third to one-half of the worst cases usually
terminating fatally, whereas the mildest are always amenable to
treatment.
Progress. The course of the disease depends on the severity of the
attack but also, in no small degree, on the good judgment of the
driver. Cases that develop with great suddenness, and apparently
with extreme severity may subside spontaneously if the animal is
placed in a condition of absolute rest. If, however, we can secure rest
of the muscles of progression only, while the breathing remains rapid
and labored, improvement is unlikely, as the system continues to
receive large accessions of the toxic products. When the patient is
down and unable to rise, the enforced rest may be beneficial, but too
commonly, the greater effort with which breathing is carried on in
the recumbent position, and the frequent ineffectual struggles of the
limbs prevent the requisite muscular quietude.
In some cases, and especially in the mildest, recovery may seem to
have been effected in a few hours, and in others it will be seen in
twenty-four or forty-eight hours, while in still others the paresis and
helplessness may continue for a week and yet be followed by
recovery. In these cases appetite may be retained in greater or less
degree, but the intestinal peristalsis is usually weak and imperfect,
the fæces small in quantity and dry, and the bladder atonic so that
the urine may have to be drawn off with the catheter. It usually
retains the deep red color, or improvement may be heralded by a
change to a dirty grayish hue. If, however, it shows an excess of
albumen, cylindroid casts entangling renal epithelium and white or
red globules it will indicate the access of diffuse nephritis and a
prolonged or even a fatal illness.
When control of the limbs is not restored at the end of a week, the
paretic muscles usually undergo marked and rapid wasting, which
may last for months or years. This is especially common in the case
of the patellar muscles (muscle of the fascia lata, triceps extensor
cruris) in which the atrophy may become so extreme that the skin
covering the inner and outer sides of the thigh may be brought
virtually in contact in front of the femur. This entails an almost
complete inability to sustain the body on the hind limbs. When
atrophy is less extreme, there is only a weakness, stiffness, or
swaying or staggering on the hind limbs in progression.
In fatal cases death may occur early in connection with the violent
struggles, the excited breathing, pulmonary hypostasis and
congestion, a cyanotic hue of the visible mucous membranes and a
gradual increase of stupor. Though delayed for several days, there is
a continuation of the muscular struggles, and the labored breathing;
the red or glairy character of the urine persists or is exaggerated; the
nervous irritability increases, with muscular trembling; and cyanosis,
or stupor increases until death.
The mortality is always high in the severe forms of the disease, the
deaths ranging from 20 per cent. upward.
After a first attack there is a strong predisposition to a second
under similar exciting conditions.
Diagnosis. The peculiar symptoms of this disease and the
circumstances attending its onset, are usually sufficient to
distinguish it from all others. There may be danger of confounding
certain cases with thrombosis of the posterior aorta, or of the iliac
arteries or their branches, but the absence, in such cases, of the
special history of the attack and of the morbid state of the urine, and
the absence of pulsation in the arteries distal to the thrombosis will
serve to prevent confusion. Spinal myelitis will be distinguished by
the gradual nature of the onset, by the absence of the conditions
attending on the attack of hæmoglobinæmia, and usually by the
absence of hæmoglobin, urea and other nitrogenous products in
excess in the urine.
Prevention. The hard worked or systematically exercised horse,
which is at the same time heavily fed must not be left in a state of
absolute rest in his stall for twenty-four hours. A fair amount of
exercise must be given on every day in the week, and at the same
time, the food should be restricted in ratio with the restriction of
exercise. Turning for an hour or two daily into a yard may be a
sufficient precaution. When from any cause, rest is imperative, the
diet must be materially reduced and given in part in a laxative form
(bran, roots), or a slight laxative (Glauber salts) or diuretic
(saltpeter) may be added. Cleanliness and a free ventilation of the
stable, are also of value in obviating at once auto-intoxication and
the admission of poison through the lungs. In the same way a free
allowance of drinking water is beneficial as favoring a general
elimination from the various emunctories, and a dilution of the
plethoric blood.
These precautionary measures are especially important in the case
of horses which have passed through a first attack and which are in
consequence strongly predisposed to a second. Horses fed liberally
on highly nitrogenous food (oats, beans, peas, cotton seed meal), will
also require specially careful oversight when at rest for a day or two
only.
Treatment. The first and perhaps the most important
consideration is absolute rest. If the subject is stopped instantly on
the appearance of the first symptoms, the disease may be often
aborted. It is better to avoid the exercise of walking to a stable until
such time as the severity of the attack has somewhat moderated and
then to move the subject only in the slowest and quietest possible
way. If the patient is already down and unable to rise, he may be
carried to the nearest stable in an ambulance or on a stone-boat, and
there helped to his feet and supported in slings. Though he may be
unable to continue in the standing position without the sling, yet if
he can use his limbs at all for support, and is prevented from lying
down, the breathing will be rendered so much more free and quiet,
that it may greatly lessen the transfer of the poisonous elements into
the general circulation and materially contribute to recovery. If,
however, he cannot stand on his limbs at all, but must settle in the
slings, the compression of the chest will so excite the breathing that
it will induce dyspnœa, pulmonary congestion and a rapidly fatal
result. In such a case a good bed must be provided and the patient
made as comfortable as possible in the recumbent position.
In some cases in the earliest stages a full dose of sweet spirits of
nitre or even half a pint of whiskey has seemed to assist in aborting
the disease though the urine was already of a deep red color. It
probably acted by supporting the already oppressed heart, and
securing a prompt elimination by the kidneys.
Friedberger and Fröhner strongly recommend bleeding in all cases
of dyspnœa and excited heart action, and considering the plethoric
condition of the animal it would equally commend itself in other
cases as well. This is the most prompt sedative of the nervous and
vascular excitement, and the most speedy and certain means of
removing much of the poisons accumulated in the blood, and of
diluting what remains by reason of the absorption of liquids from
every available source. This will more than counterbalance any
temporary increase of poisons drawn from the portal system to fill up
the vacuum in the systemic veins caused by the emission of blood.
When the thick tarry condition of the blood seriously hinders a
speedy abstraction both jugulars may be opened at once.
In some cases of great nervous excitement bromides may be useful
in moderating circulatory and respiratory movement, but on the
whole the advantage is greater from an immediate resort to
eliminating agents.
One of the most effective agents is water. If the patient is thirsty he
should have all he will drink, and if not, it may even be given from a
bottle, or thrown into the rectum. A still more effective resort would
be to introduce water intravenously in the form of a normal saline
solution, or even to pass it into the trachea through a small cannula
or large hypodermic needle. This serves to dilute the over dense
blood, to stimulate the kidneys and other emunctories to active
secretion, and to retain in solution the hæmoglobin, urea and other
products which would otherwise cause greater irritation. This would
be especially applicable after the blood tension had been diminished
by phlebotomy.
Warm fomentations to the loins or croup are not without their
influence. They tend to soothe the irritated parts and to solicit the
action of the kidneys more particularly. The old resort of a fresh
sheep skin, with the fleshy side in, may be used as a substitute.
Perhaps the most important indication is to secure depletion from
the overloaded portal system and liver. Where nothing better offers,
a pint or quart of castor oil, or a pound of Glauber salts, or a half
drachm of podophyllin and four drachms of aloes may be given. If
available 1 to 1½ grains of eserine, or 7 grains of barium chloride
may be given hypodermically in distilled water or that which has
been raised to the boiling point. This may be supplemented by
frequent injections of hot soap suds or even of laxative saline
solutions. If the bowels can be roused to free secretion the removal of
toxic matters from the portal blood and the delay in the progress of
similar matters through the liver will go far toward securing a
favorable result. When free purgation has been secured recovery can
usually be counted on.
The action on the bowels must be followed up by diuretics to
eliminate the offensive matters from the general system. Colchicum
has been recommended because of its action in increasing the solids
of the urine, and this may be combined with saltpeter or other
diuretic, or the latter may be used alone and repeated twice a day. If,
however, the patient can, by the free use of common salt or
otherwise, be induced to drink freely of water, the elimination
through the kidneys will be sufficiently secured.
The muscular weakness and paralysis that remain after the acute
symptoms have subsided must be met by stimulating liniments and
even blisters to the loins or affected muscles, by the internal use of
strychnia (2 grs. twice daily) until the jerking of the muscles
indicates that its physiological action has been secured, and by an
electric current daily for ten minutes at a time through the affected
nerves and muscles. Animals that have been helpless for weeks have,
in our hands, recovered under such treatment, and even cases of
several months’ standing, with the most extensive atrophy of the
triceps, and in which the animal could barely stand, have made a
satisfactory recovery.
Any remaining nephritis must be treated according to its
indications.
During recovery and in the convalescent animal the diet should be
laxative and non-stimulating. Bran mashes, turnips, beets, carrots,
green fodder, ensilage and scalded hay may be allowed. Oats, corn,
beans, peas, vetches, etc., must be carefully avoided. If the food fails
to maintain the bowels in a gently relaxed condition one, two or
more ounces of sulphate of soda may be added daily.
In the mild cases a good dose of purgative medicine succeeded by a
course of diuretics will serve a good purpose.
In all cases alike work must be resumed very gradually. At first the
animal may be walked a few hundred yards, and the pace or load and
duration of exercise may be increased day by day until full work can
be safely endured. In an animal that has once suffered the same
gradual inuring to labor should be followed, after any short period of
rest on a fairly good ration.
JAUNDICE, ICTERUS, THE YELLOWS.
Symptomatic. Causes: Mechanical obstruction of bile duct, gall-stones, hydatids,
distomata, extraneous bodies, inflammation, stricture, obliteration, absence,
ulceration, spasm, tumor, enlarged lymph glands, gastric tumors, pancreatic,
kidney or omental tumor, aneurism, fæcal accumulation, pregnancy, ovarian
tumor: Without mechanical obstruction, ptomaines and toxins, animal venoms,
mineral poisons, hepatic atrophy, fear, other emotions, cerebral concussion,
imperfect oxidation, excess of bile, hepatic inflammation, constipation and
reabsorption of bile, experimental jaundice, balance of tension in gall ducts and
blood vessels, duodenitis, compression of aorta, hæmatoidin and bilirubin,
destruction of blood globules by hydroæmia, taurocholate of soda, chloroform,
ether, freezing, heat, electricity, alkalies, nitrites. Hæmoglobin: Its solubility in
horse. Bile acids and blood pigment. Summary of causes. Gravity of icterus.
Symptoms: Coloration, yellow, orange, brown, of tissues and secretions: Tests,
staining white paper, Gmelin’s test, nitric and sulphuric acids, rainbow hues:
Pettenkofer’s test for bile acids, syrup and sulphuric acid, dark violet: Stranburg’s
test syrupy paper and sulphuric acid, dark violet; clay colored fœtid stools; gravity.
The terms icterus and jaundice are applied to a yellowness of the
mucosæ, urine, skin and tissues caused by the presence in them of
the coloring matters of bile. The condition is a symptom of many
different affections rather than a disease per se, yet the phenomenon
is so characteristic that it has been hitherto accorded a special place
and article in systematic works.
Jaundice is either associated with mechanical obstruction of the
bile duct or ducts, or it is independent of such obstruction. The
following enumeration of its causes slightly modified from
Murchison, is equally applicable to the lower animals as to man:
A. Jaundice From Mechanical Obstruction of the Bile Duct.
I. Obstruction by foreign bodies within the duct:
1. Gall stones and inspissated bile.

2. Hydatids and distomata.
3. Foreign bodies from the intestines.
II. Obstruction by inflammatory tumefaction of the duodenum or
of the lining membrane of the bile duct with exudation into its
interior.
III. Obstruction by stricture or obliteration of the duct.
1. Congenital deficiency of the duct.

2. Stricture from perihepatitis.
3. Closure of the orifice of the duct in consequence of ulcer of the
duodenum.
4. Stricture from cicatrization of ulcers in the bile duct.
5. Spasmodic stricture.
IV. Obstruction by tumors closing the orifice of the duct or
growing in its interior.
V. Obstruction by pressure on the duct from within, by:
1. Tumors projecting from the liver itself.

2. Enlarged glands in the fissure of the liver.
3. Tumor of the stomach.
4. Tumor of the pancreas.
5. Tumor of the kidney.
6. Post peritoneal or omental tumor.
7. An abdominal aneurism.
8. Accumulation of fæces in the bowels.
9. A pregnant uterus.
10. Ovarian and uterine tumors.
B. Jaundice Independent of Mechanical Obstruction of the Bile
Ducts.
I. Poisons in the blood interfering with the normal
metamorphosis of bile.
1. The poisons of the various specific fevers (Anthrax, Texas fever, Hog cholera,
Swineplague, Petechial fever, Pyæmia, Septicæmia, etc.).
2. Animal poisons: snake poison.
3. Mineral poisons: phosphorus, mercury, copper, antimony, etc.
4. Chloroform, ether, etc.
5. Acute atrophy of the liver.
II. Impaired or deranged innervation interfering with the normal
1. Severe mental emotions: fright, anxiety, etc.
2. Concussion of the brain.
III. Deficient oxygenation of blood interfering with the normal
IV. Excessive secretion of bile, more of which is absorbed than can
undergo the normal metamorphosis.
Congestion of the liver: a. Mechanical, b. Active, c. Passive.
V. Undue absorption of bile into the blood from habitual or
protracted constipation.
Mechanical obstruction, by tying the bile ducts in a dog, caused in
two hours yellow coloration of the contents of the hepatic lymphatics
and thoracic duct, and also of the blood in the hepatic veins
(Saunders). That this jaundice is due to reabsorption and not to
suppressed secretion of bile, already present in the blood, may be
fairly inferred, from the complete absence of icterus, where, from
general disease of the liver, the secretion of bile has been entirely
suspended, and in which the gall ducts and bladder contain only a
little gray mucus (Haspell, Frerichs, Budd, Murchison), also from the
fact that after complete extirpation of the liver in frogs not a trace of
biliary acids nor pigment can be detected in the blood, urine, or
muscular tissue (Müller, Runde, Lehmann, Moleschott). Bile acids
and bile pigment are formed in the liver by disintegration of blood
globules, and when present in excess in the blood it is by virtue of
reabsorption.
This reabsorption will take place under the slightest favoring
influence. The obstructions in the bile duct, above referred to, cause
the tension in these ducts to exceed that of the blood in the
capillaries of the liver and at once osmosis of bile into the blood
vessels sets in. This may occur from so slight a cause as the
congestion and swelling of the duodenal mucosa around the opening
of the bile duct. Again reabsorption of bile may be determined by a
lessening of the normal fullness and tension of the hepatic capillaries
as when the aorta is mechanically compressed by abscess, neoplasm,
ingesta, or otherwise, just behind the diaphragm (Heidenham,
Brunton). The cause is the same in both cases, namely, the want of
balance between the fullness and tension of the bile ducts, and the
hepatic blood vessels. There is increased fullness of the hepatic
biliary ducts, or decreased plenitude of the hepatic capillaries and
lymphatics.
It must be added, however, that the coloring matter of the bile is
apparently produced, in the liver, from that of the blood, and that the
pigment (hæmatoidin), found in old extravasations of blood, is
probably identical with bilirubin, and that any agent or condition
which causes liberation of the coloring matter of the red blood
globules, will cause a staining of the tissues, like that of jaundice. The
following agents are known to have this effect on the blood globules:
water, in hydroæmic states of the blood (Hermann); taurocholate of
soda from absorption of bile (Frerichs, Kuhne, Feltz, Ritter);
chloroform (Chaumont); ether (Burdon-Sanderson); freezing
(Rollet); a high temperature +60° C. (Schultze); frictional and
induction currents of electricity (Burdon-Sanderson); the alkalies
(ammonia, potash and soda) and nitrites when present in excess.
The injection of hæmoglobin into the veins of dogs has been
followed by the appearance of bile pigment in the urine, but
Naumyn, Wolff, Legg and Brunton failed to obtain the same result in
rabbits.
It is noticeable that the hæmoglobin of horses’ blood is very
soluble at all temperatures and that of dogs very slightly so (Burdon-
Sanderson). This may serve to explain the great prevalence among
solipeds of diseases, associated with dusky brown or yellow
discoloration of the mucosæ, with petechiæ, and with the passage of
blood pigments in the urine. It may further explain the usually
benignant course of jaundice in the horse and its extreme gravity in
the dog.
There is further reason to believe that the bile acids, when in
excess, may be transformed into bile pigment in certain conditions of
the blood, as occurs under the action of sulphuric acid out of the
body (Stœdler, Meukomen, Folwarcyny, Röhrig). Moreover, in the
healthy state, the greater part of the bile secreted, including acids
and pigment, is re-absorbed from the intestinal canal, but is oxidized
and decomposed in the blood so that it cannot be detected, in blood
or urine. But let the transformation be interrupted, as in certain
diseases of the lungs, with imperfect oxidation, and the bile
circulates in the blood, stains tissues and urine, and in short causes
jaundice.
To sum up: it may be said that icterus is probably never due to
simple inactivity of the liver: it may, however, be caused by excessive
secretion of bile which is re-absorbed from obstructed bile ducts or
bowels:—it may result from imperfect transformation, in the blood,
of the bile which is normally re-absorbed from the intestine: or it
may possibly be caused by the formation of pigments in the blood
from the abnormal transformation of bile acids, or by solution of the
hæmoglobin of the blood corpuscles.
The gravity of jaundice varies as much as its causes. It is well
known that the system may be saturated with bile, and the tissues
and urine deeply stained without much constitutional disorder. The
pigment alone is not an active poison. But there may be much
attendant suffering from obstructed biliary ducts or bowels, from
diseases of the lungs, or from disintegration of the blood globules
and imperfect nutrition, or there may be profound nervous
prostration and disorder from uræmia, or from the presence in the
blood of an excess of effete and partially oxidized albuminoids (See
Azotæmia). According to our present knowledge, constitutional
disorder, prostration and suffering in cases of jaundice, are mainly
due to the presence in the circulation of these albuminoids, and of
taurocholic acid which latter has a most destructive effect on the
blood corpuscles.
The symptoms, therefore, are not characteristic apart from the
yellow coloration of the tissues and urine and the chemical reactions
of the bile acids and bile pigments furnished by the latter.
The coloration of the tissues may be a simple tinge of yellow
especially noticeable in the eye (conjunctiva), or it may amount to
the darkest shades of orange and brown. It may or may not be
complicated by the presence of spots or patches of blood-staining
(ecchymosis) on the visible mucous membranes but especially in
cases complicated by poisoning with taurocholic acid or effete
nitrogenous products.
The urine may be similarly colored in all shades of yellow or
orange brown, and may leave a correspondingly deep stain on white
paper.
The test for bile pigments (Gmelin’s) is simple and beautiful. Pour
a little nitric acid into a test tube held obliquely and then add a few
drops of sulphuric acid, and finally a little urine, so slowly, that it will
remain on the surface. Soon at the point of junction appear in
succession the various colors of the rainbow: yellow, green, blue,
violet, red and lastly a dirty yellow. It is open to this objection that
the characteristic play of colors may be produced by alcohol in the
absence of bile pigments. Indican also will produce the green and
yellow with blue between but never the violet nor red, nor all in their
regular order.
A second mode of applying this test is by spreading a few drops of
the urine on a white plate and letting fall a drop of nitric acid in the
centre. The play of colors is very characteristic.
The test for bile acids (Pettenkofer’s) is to place a portion of the
urine in a test tube, and after adding a drop of syrup, to add
cautiously, drop by drop, two-thirds of the amount of sulphuric acid.
Shake the mixture and set aside for some minutes. If sufficient heat
is not produced by the mixing of the acid and urine warm slightly.
The mixture becomes of a dark violet color which is destroyed by a
temperature a little above 140° Fah.
A convenient application of this test (Stranburg) is to add a little
cane sugar to the urine, dip a piece of filtering paper in the mixture,
dry it thoroughly, pour a drop of sulphuric acid on the paper and
allow it to run partially off. In a quarter of a minute a beautiful violet
color is produced, best seen by holding up the paper to the light and
looking through it (Brunton).
In cases due to obstruction of the bile ducts the dung is destitute of
bile, whitish, often clayey and fœtid, while in cases due to
reabsorption without obstruction the fæces have their natural color
and odor.
It is needless to enumerate all the concomitant symptoms of
jaundice which will be better noticed under the different disorders
which determine it, for a list of which see the causes.
The gravity of the affection will depend on the dangerous nature of
these concurrent diseases, and the destructive changes in the liver
and blood rather than on the depth of color in the textures.
CATARRHAL ICTERUS (JAUNDICE) OF
SOLIPEDS.
Causes: infection from duodenum through biliary duct. Suppression of bile
favors. Musty, heated, mow burnt fodder, over feeding, irregular feeding, or
watering, over work, worms, fatigue, damp stables, duodenal congestion, gall-
stones, concretions, pancreatic tumor, ascaris in bile ducts, distoma, infection
through portal vein, toxins. Symptoms: of duodenal catarrh, icterus, yellow,
viscous, odorous urine, dullness, weakness, somnolence, tardy pulse and
breathing, costiveness, or diarrhœa, pale, fœtid stools. Duration: 2 to 3 weeks or
longer. Lesions: duodenitis, distended biliary and pancreatic ducts, calculi,
enlarged softened liver and kidneys. Diagnosis: icteric symptoms in absence of
fever. Prognosis: usually favorable. Treatment: laxative diet, pasture, soiling,
ensilage, roots, fruits, water freely, exercise, antisepsis, elimination, laxatives,
cholagogues, diuretics, calomel, salines, nitro-muriatic acid, podophyllin, castor
oil, aloes, tartar emetic, bitters, sodium bicarbonate.
Causes. This may be said to be an extension of infection from the
duodenum through the bile ducts. The microbes of the intestinal
canal become acclimatized by living in the bile-charged contents of
the duodenum until they acquired the power of survival and
multiplication in the biliary ducts themselves. The well known
antiseptic qualities of the bile, constitute a powerful barrier to this,
yet the power of adaptation on the part of certain germs is greater
than the defensive action of the bile. The attack is however mostly in
connection with indigestion or muco-enteritis, and a more or less
perfect suspension of biliary secretion, so that this defensive action is
reduced to its minimum and the germs can ascend the bile ducts in
the mucous secretion as a culture medium, and by interference with
the resumption of a free hepatic secretion, they succeed in safely
colonizing themselves in the mucosa and hepatic parenchyma.
Whatever, therefore, interferes with the integrity of the duodenal
functions directly contributes to the extension of infection from
bowel to liver. Old, heated, musty, cryptogamic, dusty fodder, grains
that have been badly harvested in wet seasons, feed that has been
damp and fermented, overloading of the stomach, irregular feeding
and watering, giving drink after a feed of grain, underfeeding,
overwork, worms, excessive fatigue, damp, dark stables, etc., tend to
induce indigestions and to lay the bile ducts open to infection.
Blocking of the bile duct and stasis of its contents may be a sufficient
cause. The swollen mucosa around the orifice of the duct not only
blocks the passage but favors the formation of a mucous plug as
recorded by Benjamin of an equine patient. Wolff found obstruction
of the duodenum in the horse by a mass of ingesta, and blocking of
the gall duct, with jaundice.
Gall stones and concretions are very direct causes of biliary
obstruction and jaundice. Though less common in horses than cattle,
these are not unknown in idle, pampered animals when on dry
winter feeding.
Tumors of the pancreas or adjacent organs pressing on the gall
duct are recognized as causes of equine icterus, (Megnin, Nocard).
With any obstruction to the bile a disturbance of balance of
pressure between the bile ducts and the hepatic veins is brought
about by respiratory movements. On the one hand the aspiratory
power of the chest empties the hepatic veins, lessening blood
pressure, and in expiration the contraction of diaphragm and
abdominal muscles compresses the gall ducts increasing their
tension and favoring absorption of bile.
The entrance into the bile duct of the ascaris megalocephala is at
once a cause of obstruction and of the transference of duodenal
microbes, and the presence of trematodes (fasciola hepatica, or
distoma lanceolatum) will also favor obstruction. Other parasites,
like the echinococcus or actinomycosis, may press on the biliary
ducts and determine jaundice.
Another mode of infection is by way of the portal vein, the
microbes entering from the intestine and becoming arrested and
colonized in the liver (Dieckerhoff).
Whether from the presence of the microbes or from the absorption
of ptomaines and toxins from the intestines, the radical biliary ducts
become inflamed, swollen, and even blocked, and the hepatic cells
degenerated or even completely devitalized, so that they fail to take
an aniline stain. In such cases the remaining sound hepatic cells go
on producing bile, but as this cannot any longer escape through the
partially obstructed interlobular biliary radicles, it is largely
absorbed and produces icterus. Cadeac mentions a case of this kind
in a mare in which the toxic matters had not only led to hepatic
disease, but also to structural changes in the eliminating organ (the
kidney).
Symptoms. In the horse the disease is mostly attendant on
subacute duodenitis, and even when this is associated with infective
catarrh of the biliary passages the kidneys remain mostly sound and
active, and eliminate alike the bile pigments and the more toxic
matters so that the disease is not often grave. Beside the essential
feature of yellow mucosæ, and urine, the latter viscous and smelling
strongly, there is profound depression, sluggishness, weakness and
somnolence. Imperfect muscular control and even slight paresis may
be present. Tardy pulse and breathing are at times noticeable. At
others these, like the temperature, are normal. The mouth is hot and
dry. The urine may be slightly albuminous. The bowels incline to
costiveness from lack of their customary stimulus, yet this in turn
may give rise to diarrhœa. In either case, as the disease advances, the
defecations lose the healthy yellowish brown color, becoming pale
and fœtid.
Duration. The attack may last one, two or three weeks, and
generally ends in recovery. With irremediable structural lesions, it is
of course permanent and even fatal.
Lesions. The most common feature is duodenitis with thickening
around the orifice of the common bile and pancreatic duct. The
biliary ducts may be distended and their contents more than usually
viscid and glairy from the presence of pus. Their mucosa may show
ramified redness, or concretions as casts or calculi. The liver is
enlarged, soft and friable giving way readily under the pressure of the
finger. Enlargement of the kidneys is usually present, the cortical
substance having a brownish red and the medullary portion a
yellowish pink hue.
Diagnosis. The absence of hyperthermia in jaundice, serves to
distinguish it from the acute febrile affections (pneumonia,
influenza, contagious pneumonia, petechial fever, etc.,) which are
marked by yellowness of the mucosæ and skin.
Prognosis. The merely functional forms of icterus in solipeds
usually end in recovery.
Treatment. The first consideration is a laxative diet. A run at
pasture will usually meet every indication. Fresh cut grass, ensilage,
turnips, carrots, potatoes, beet, apples, or other succulent diet may
be given as substitute. Bran mashes and hay cut and moistened may
be allowed in the absence of the above. Abundance of water and
especially cool water will stimulate bowels, liver and kidneys, favor
the elimination of the bile by contraction of the biliary ducts, and
hasten the expulsion of the poisons through the kidneys. Regular
exercise an hour after meals stimulates both bowels and liver to
action.
Medicinal treatment is largely directed to antisepsis of the bowels
and the arrest of the production of injurious toxins; elimination from
the bowels and incidental depletion from the portal vein and liver;
antisepsis and stimulation of the liver; and stimulation of the urinary
secretion.
The preparations of mercury fill several of these indications.
Calomel 2 drs., or blue mass 1½ dr., is not only a soothing laxative
and antiseptic, but seems to operate as a calmative and antiseptic to
the liver as well. It may be continued in 5 to 10 grain doses two or
three times a day, according to the size of the animal and the
condition of the bowels, and associated with ½ dr. belladonna
extract to each dose together with a bitter (quassia, gentian, nux
vomica). Or 4 or 5 ozs. sulphate of soda may be given three times a
day, with 2 drs. salicylate of soda as an antiseptic. Or, to increase the
hepatic action, nitro-muriatic acid largely diluted may be given in
sixty drop doses thrice a day in the drinking water. These are
especially valuable for their antiseptic action, cutting off at once the
source of nervous irritation from the attendant indigestions, and
duodenal congestion, and arresting the flow of the irritant toxins and
other products through the portal system. Podophyllin, castor oil,
aloes, rhubarb, often act well by depletion from the portal vein, and
expulsion of indigestible and irritant matters from the intestines, but
there is more danger of resulting swelling of the duodenal mucosa
than with the mercurials or aqua regia. Goubaux recommends 2½
drs. of tartar emetic.
Siedamgrotzky has had good results from an electric current sent
through the region of the liver, but in the horse this is rarely
demanded.
A course of bitters, with bicarbonate of soda in small doses, may be
demanded to re-establish the healthy tone of the stomach and
intestines, and a run at pasture, or at least an open air life, exercise,
and a laxative diet with abundance of good water should be secured.
Any undue costiveness should be counteracted at once by a saline
laxative.

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Longitudinal Data Analysis

Autoregressive Linear Mixed Effects

Asymptotic Analysis of Mixed Effects Models: Theory,

Linear and Generalized Linear Mixed Models and Their

Data analysis using hierarchical generalized linear

Repeated Measures Design with Generalized Linear Mixed

Advances in Predictive Models and Methodologies for

Generalized linear models and extensions Fourth Edition

Linear Regression Models 1st Edition John P. Hoffmann

Data Analysis in the Cloud : Models, Techniques and

JSS Research Series in Statistics

More information about this series at http://www.springer.com/series/13497

Longitudinal Data Analysis

ISSN 2191-544X ISSN 2191-5458 (electronic)

Library of Congress Control Number: 2018960732

Tokyo, Japan Ikuko Funatogawa

1 Longitudinal Data and Linear Mixed Effects Models . . . . . . . . . . . . 1

2.2 Examples of Autoregressive Linear Mixed Effects Models . . . . . . 34

4.2.4 Variance Covariance Structures . . . . . . . . . . . . . . . . . . . . 86

6.5.1 State Space Representations of Linear Mixed Effects

Abstract Longitudinal data are measurements or observations taken from multiple

Keywords Linear mixed effects model · Longitudinal · Maximum likelihood

1.1 Longitudinal Data

Longitudinal data are measurements or observations taken from multiple subjects

Nikkei average closing price (10,000 yen)

1.2 Linear Mixed Effects Models

where β is a p × 1 vector of unknown fixed effects parameters, Xi is a known ni × p

bi ∼ MVN(0, G), (1.2.2)

where G is a q × q square matrix and Ri is an ni × ni square matrix. In these matrices,

Following the above assumptions, the marginal distribution of Yi is a multivariate

Vi Var(Zi bi + εi ) Zi GZTi + Ri . (1.2.4)

The distribution is expressed by

where εi ∼ MVN(0, Ri ), E(Yi ) Xi β, and Var(Yi ) Ri . They are called marginal

1.3 Examples of Linear Mixed Effects Models

1.3.1 Means at Each Time Point with Random Intercept

Here, Ia denotes an a × a identity matrix. The variance covariance structure, Zi GZTi ,

Yij β0 + β1 x1j + · · · + βJ −1 xJ −1j + bi + εij . (1.3.2)

In the case of four time points, the model is

1.3.2 Group Comparison Based on Means at Each Time

In the case of four time points, this model is

To estimate the difference, we use the following contrast vector, L,

Then, βg0 + βg3 is

In Sect. 1.5.5, we discuss the estimation and test using contrasts.

1.3.3 Means at Each Time Point with Unstructured Variance

1.3.4 Linear Time Trend Models with Random Intercept

1.3.5 Group Comparison Based on Linear Time Trend

Here, the variance covariance parameters, σG0 2

1.4 Mean Structures and Variance Covariance Structures

1.4.1 Mean Structures

μij β0 + β1 tij + β2 tij2 .

A quadratic equation has a maximum or minimum value, β0 − β12 /(2β2 ), at the

Here, the following formula holds:

1.4.2 Variance Covariance Structures

Table 1.1 Variance covariance structures for four time points

(c) Unstructured: UN (d) Random intercept

(e) Random intercept and independent (f) Compound symmetry: CS,

(i) First-order autoregressive: AR(1) (j) Heterogeneous AR(1): ARH(1)

(k) Toeplitz (l) Heterogeneous Toeplitz