Partitioning degrees of freedom in hierarchical and other richly-parameterized models

Hodges & Sargent (2001) developed a measure of a hierarchical model's complexity, degrees of freedom (DF), that is consistent with definitions for scatterplot smoothers, interpretable in terms of simple models, and that enables control of a fit's complexity by means of a prior distribution on complexity. DF describes complexity of the whole fitted model but in general it is unclear how to allocate DF to individual effects. We give a new definition of DF for arbitrary normal-error linear hierarchical models, consistent with Hodges & Sargent's, that naturally partitions the n observations into DF for individual effects and for error. The new conception of an effect's DF is the ratio of the effect's modeled variance matrix to the total variance matrix. This gives a way to describe the sizes of different parts of a model (e.g., spatial clustering vs. heterogeneity), to place DF-based priors on smoothing parameters, and to describe how a smoothed effect competes with other effects. It also avoids difficulties with the most common definition of DF for residuals. We conclude by comparing DF to the effective number of parameters p(D) of Spiegelhalter et al (2002). Technical appendices and a dataset are available online as supplemental materials.