On conditional prediction errors in mixed models with application to small area estimation

Shonosuke Sugasawa and Tatsuya Kubokawa

Journal of Multivariate Analysis, 2016, vol. 148, issue C, 18-33

Abstract: The empirical Bayes estimators in mixed models are useful for small area estimation in the sense of increasing precision of prediction for small area means, and one wants to know the prediction errors of the empirical Bayes estimators based on the data. This paper is concerned with conditional prediction errors in the mixed models instead of conventional unconditional prediction errors. In the mixed models based on natural exponential families with quadratic variance functions, it is shown that the difference between the conditional and unconditional prediction errors is significant under distributions far from normality. Especially for the binomial–beta mixed and the Poisson–gamma mixed models, the leading terms in the conditional prediction errors are, respectively, a quadratic concave function and an increasing function of the direct estimate in the small area, while the corresponding leading terms in the unconditional prediction errors are constants. Second-order unbiased estimators of the conditional prediction errors are also derived and their performances are examined through simulation and empirical studies.

Keywords: Binomial–beta mixture model; Conditional mean squared error; Fay–Herriot model; Mixed model; Natural exponential family with quadratic variance function; Poisson–gamma mixture model; Random effect; Small area estimation (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X16000312
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:148:y:2016:i:c:p:18-33

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2016.02.009

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().