Journal
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
Volume 18, Issue 4, Pages 818-837Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/jcgs.2009.06127
Keywords
Backfitting algorithm; CAR model; Collapsibility; Epidemiology; Iterative weighted least squares; Large sample sizes
Categories
Funding
- National Institute of Health [P01CA134294]
- National Science Foundation [DMS-0906734]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [0906734] Funding Source: National Science Foundation
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Generalized linear mixed models (GLMMs) are often fit by computational procedures such as penalized quasi-likelihood (PQL). Special cases of GLMMs are generalized linear models (GLMs), which are often fit using algorithms like iterative weighted least squares (IWLS). High computational costs and memory space constraints make it difficult to apply these iterative procedures to datasets having a very large number of records. We propose a computationally efficient strategy based on the Gauss-Seidel algorithm that iteratively fits submodels of the GLMM to collapsed versions of the data. The strategy is applied to investigate the relationship between ischemic heart disease, socioeconomic status, and age/gender category in New South Wales, Australia, based on outcome data consisting of approximately 33 million records. For Poisson and binomial regression models, the Gauss-Seidel approach is found to substantially outperform existing methods in terms of maximum analyzable sample size. Remarkably, for both models, the average time per iteration and the total time until convergence of the Gauss-Seidel procedure are less than 0.3% of the corresponding times for the IWLS algorithm. Platform-independent pseudo-code for fitting GLMS, as well as the source code used to generate and analyze the datasets in the simulation studies, are available online as supplemental materials.
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