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Summary. Various bootstraps have been proposed for bootstrapping clustered data from one-way arrays. The simulation results in the literature suggest that some of these methods work quite well in practice; the theoretical results are limited and more mixed in their conclusions. For example, McCullagh reached negative conclusions about the use of non-parametric bootstraps for one-way arrays. The purpose of this paper is to extend our understanding of the issues by discussing the effect of different ways of modelling clustered data, the criteria for successful bootstraps used in the literature and extending the theory from functions of the sample mean to include functions of the between and within sums of squares and non-parametric bootstraps to include model-based bootstraps. We determine that the consistency of variance estimates for a bootstrap method depends on the choice of model with the residual bootstrap giving consistency under the transformation model whereas the cluster bootstrap gives consistent estimates under both the transformation and the random-effect model. In addition we note that the criteria based on the distribution of the bootstrap observations are not really useful in assessing consistency.

Linear mixed effects models are highly flexible in handling a broad range of data types and are therefore widely used in applications. A key part in the analysis of data is model selection, which often aims to choose a parsimonious model with other desirable properties from a possibly very large set of candidate statistical models. Over the last 5-10 years the literature on model selection in linear mixed models has grown extremely rapidly. The problem is much more complicated than in linear regression because selection on the covariance structure is not straightforward due to computational issues and boundary problems arising from positive semidefinite constraints on covariance matrices. To obtain a better understanding of the available methods, their properties and the relationships between them, we review a large body of literature on linear mixed model selection. We arrange, implement, discuss and compare model selection methods based on four major approaches: information criteria such as AIC or BIC, shrinkage methods based on penalized loss functions such as LASSO, the Fence procedure and Bayesian techniques.Comment: Published in at http://dx.doi.org/10.1214/12-STS410 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org