** George Casella **

University of Florida

Estimation, and prediction, in mixed models has a long history, going back to the work of Henderson and colleagues in the 1950s. Recently, the Dirichlet process has emerged as an alternative to the usual assumption of normality of the random effect distribution, providing a richer class of distributions to model this unobservable random variable. Here we describe a variety of problems, and some solutions, about the estimation of parameters of this model. Although much work has focused on Bayesian estimation (see, for example, Kyung et. al 2009 Annals of Statistics), we also consider estimation from the classical perspective. First, we describe a useful representation of the model, and look at the properties of Bayes estimates and credible intervals. Then we look at the model from a classical perspective, and apply the Gauss-Markov theorem to get the Best Linear Unbiased Estimator (BLUE). Further examination of the resulting covariance structure reveals conditions under which the least squares estimator is BLUE, and how the Dirichlet process precision parameter affects the covariance structure of the model.