Estimating linear mixed effect models with non-normal random effects through saddlepoint approximation and its application in retail pricing analytics.

Linear Mixed Effects (LME) models are powerful statistical tools that have been employed in many different real-world applications such as retail data analytics, marketing measurement, and medical research. Statistical inference is often conducted via maximum likelihood estimation with Normality assumptions on the random effects. Nevertheless, for many applications in the retail industry, it is often necessary to consider non-Normal distributions on the random effects when considering the unknown parameters' business interpretations.

Hierarchical marketing mix models with sign constraints.

Marketing mix models (MMMs) are statistical models for measuring the effectiveness of various marketing activities such as promotion, media advertisement, etc. In this research, we propose a comprehensive marketing mix model that captures the hierarchical structure and the carryover, shape and scale effects of certain marketing activities, as well as sign restrictions on certain coefficients that are consistent with common business sense. In contrast to commonly adopted approaches in practice, which estimate parameters in a multi-stage process, the proposed approach estimates all the unknown parameters simultaneously using a constrained maximum likelihood approach and a Hamiltonian Monte Carlo algorithm.