Empirical Bayes prediction for a mixed linear model with autoregressive errors

S. G. Sajjan and I. V. Basawa

Statistics & Probability Letters, 1996, vol. 29, issue 1, 1-7

Abstract: An empirical Bayes predictor is derived for a vector of future observations in a mixed linear model with errors following a first-order autoregressive process. The consistency and the asymptotic normality of the empirical Bayes predictor are established.

Keywords: Mixed; linear; model; Autoregressive; process; Bayes; and; empirical; Bayes; prediction; Asymptotics (search for similar items in EconPapers)
Date: 1996
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