Streamlined solutions to multilevel sparse matrix problems
- Australian Mathematical Publishing Association, Inc.
- Publication Type:
- Journal Article
- ANZIAM Journal, 2020, 62, pp. 18-41
- Issue Date:
We define and solve classes of sparse matrix problems that arise in multilevel modelling and data analysis. The classes are indexed by the number of nested units, with two-level problems corresponding to the common situation, in which data on level-1 units are grouped within a two-level structure. We provide full solutions for two-level and three-level problems, and their derivations provide blueprints for the challenging, albeit rarer in applications, higher-level versions of the problem. While our linear system solutions are a concise recasting of existing results, our matrix inverse sub-block results are novel and facilitate streamlined computation of standard errors in frequentist inference as well as allowing streamlined mean field variational Bayesian inference for models containing higher-level random effects. doi: 10.1017/S1446181120000061