Nested generalized linear mixed models: an orthodox best linear unbiased predictor approach

We introduce a new class of generalized linear mixed models based on the Tweedie exponential dispersion model distributions, accommodating a wide range of discrete, continuous and mixed data. Using the best linear unbiased predictor of random effects, we obtain an optimal estimating function for the regression parameters in the sense of Godambe, allowing an efficient common fitting algorithm for the whole class. Although allowing full parametric inference, our main results depend only on the first- and second-moment assumptions of unobserved random effects. In addition, we obtain consistent estimators for both regression and dispersion parameters. We illustrate the method by analysing the epilepsy data and cake baking data. Along with simulations and asymptotic justifications, this shows the usefulness of the method for analysis of clustered non-normal data. Copyright 2007 Royal Statistical Society.