Solutions to Multilevel Sparse Matrix Problems

Abstract: We define and solve classes of sparse matrix problems that arise in multilevel modeling and data analysis. The classes are indexed by the number of nested units, with two-level problems corresponding to the common situation in which data on level 1 units are grouped within a two-level structure. We provide full solutions for two-level and three-level problems and their derivations provide blueprints for the challenging, albeit rarer in applications, higher level versions of the problem. Whilst our linear system solutions are a concise recasting of existing results, our matrix inverse sub-block results are novel and facilitate streamlined computation of standard errors in frequentist inference as well as allowing streamlined mean field variational Bayesian inference for models containing higher level random effects.