Estimation of mean square error of empirical best linear unbiased predictors under a random error variance linear model

J. Kleffe and J. N. K. Rao

Journal of Multivariate Analysis, 1992, vol. 43, issue 1, 1-15

Abstract: A linear model with random effects, [mu]i, and random error variances, [sigma]i, is considered. The linear Bayes estimator or the best linear unbiased predictor (BLUP) of [mu]i is first obtained, and then the unknown parameters in the model are estimated to arrive at the empirical linear Bayes estimator or the empirical BLUP (EBLUP) of [mu]i. A second-order approximation to mean square error (MSE) of the EBLUP and an approximately unbiased estimator of MSE are derived. Results of a simulation study confirm the accuracy of these approximations.

Keywords: estimation; of; random; effects; second-order; approximation; to; MSE; small; area; estimation (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (3)

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