An MCMC method for the evaluation of the Fisher information matrix for non-linear mixed effect models

Marie-Karelle Riviere (1) , Sebastian Ueckert (1) , France Mentré (1)

1 IAME (UMR_S_1137 / U1137) - Infection, Anti-microbiens, Modélisation, Evolution

Nonlinear mixed effect models (NLMEMs) are widely used for the analysis of longitudinal data. To design these studies, optimal design based on the expected Fisher information matrix (FIM) can be used instead of performing time-consuming clinical trial simulations. In recent years, estimation algorithms for NLMEMs have transitioned from linearization towards more exact higher-order methods. Optimal design, on the other hand, has mainly relied on first-order linearization (FO) to calculate the FIM. Although efficient in general, FO cannot be applied to complex nonlinear models and with difficulty in studies with discrete data. We propose an approach to evaluate the expected FIM in NLMEMs for both discrete and continuous outcomes. We used Markov Chain Monte Carlo (MCMC) to integrate the derivatives of the log-likelihood over the random effects, and Monte Carlo to evaluate its expectation w.r.t. the observations. Our method was implemented in R using Stan, which efficiently draws MCMC samples and calculates partial derivatives of the log-likelihood. Evaluated on several examples, our approach showed good performance with relative standard errors (RSEs) close to those obtained by simulations. We studied the influence of the number of MC and MCMC samples and computed the uncertainty of the FIM evaluation. 1 We also compared our approach to Adaptive Gaussian Quadrature, Laplace approximation, and FO. Our method is available in R package MIXFIM and can be used to evaluate the FIM, its determinant with confidence intervals (CIs), and RSEs with CIs.

Mots clés: Continuous data; Discrete data; Fisher information matrix; Markov Chain Monte Carlo; Nonlinear mixed effect models; Optimal design

Domaines: Statistiques [math.ST]

Marie-Karelle Riviere, Sebastian Ueckert, France Mentré. An MCMC method for the evaluation of the Fisher information matrix for non-linear mixed effect models. Biostatistics, 2016, ⟨10.1093/biostatistics/kxw020⟩. ⟨hal-01323747⟩