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Keywords:

  • Functional models;
  • Kalman filter;
  • Mixed effects models;
  • Sequential estimation;
  • Smoothing spline;
  • State space models

Summary. In this article, a new class of functional models in which smoothing splines are used to model fixed effects as well as random effects is introduced. The linear mixed effects models are extended to non-parametric mixed effects models by introducing functional random effects, which are modeled as realizations of zero-mean stochastic processes. The fixed functional effects and the random functional effects are modeled in the same functional space, which guarantee the population-average and subject-specific curves have the same smoothness property. These models inherit the flexibility of the linear mixed effects models in handling complex designs and correlation structures, can include continuous covariates as well as dummy factors in both the fixed or random design matrices, and include the nested curves models as special cases. Two estimation procedures are proposed. The first estimation procedure exploits the connection between linear mixed effects models and smoothing splines and can be fitted using existing software. The second procedure is a sequential estimation procedure using Kalman filtering. This algorithm avoids inversion of large dimensional matrices and therefore can be applied to large data sets. A generalized maximum likelihood (GML) ratio test is proposed for inference and model selection. An application to comparison of cortisol profiles is used as an illustration.