variance function and its uncertainty
Posted: Thu Apr 02, 2020 6:26 am
Hello,
I am running a complex level 2 variation model (variance at level 2 as a function of predictors). I know how to get the level 2 variance from this model and graph it. Is there a way to get confidence (or credible, if using MCMC) intervals around the variance function? I can't find any manual that does this.
In IGLS methods, I get Wald type standard error (I think) by default for level 2 random parameters (two variance terms and a covariance term). But I know this standard error may not be appropriate since variance usually does not follow a normal distribution. Anyhow, how can I use this standard error or other more appropriate standard error to get the confidence intervals for level 2 variance formed by the three parameters?
In MCMC methods, I get the standard error and credible intervals. How can I use these to form credible intervals around the variance function?
If you have advice or if there is a manual for this, let me know. Thank you.
Sun
I am running a complex level 2 variation model (variance at level 2 as a function of predictors). I know how to get the level 2 variance from this model and graph it. Is there a way to get confidence (or credible, if using MCMC) intervals around the variance function? I can't find any manual that does this.
In IGLS methods, I get Wald type standard error (I think) by default for level 2 random parameters (two variance terms and a covariance term). But I know this standard error may not be appropriate since variance usually does not follow a normal distribution. Anyhow, how can I use this standard error or other more appropriate standard error to get the confidence intervals for level 2 variance formed by the three parameters?
In MCMC methods, I get the standard error and credible intervals. How can I use these to form credible intervals around the variance function?
If you have advice or if there is a manual for this, let me know. Thank you.
Sun