Jackknife estimation of mean squared error of small area predictors in nonlinear mixed models

Sharon L. Lohr and J. N. K. Rao

Biometrika, 2009, vol. 96, issue 2, 457-468

Abstract: Empirical Bayes predictors of small area parameters of interest are often obtained under a linear mixed model for continuous response data or a generalized linear mixed model for binary responses or count data. However, estimation of the unconditional mean squared error of prediction is complicated, particularly for a nonlinear mixed model. Jiang et al. (2002) proposed a jackknife method for estimating the unconditional mean squared error and showed that the resulting estimator is nearly unbiased. The leading term of this estimator does not depend on the area-specific responses in the nonlinear case, whereas the posterior variance of the small area parameter given the model parameters is area-specific. Rao (2003) proposed an alternative method that leads to a computationally simpler jackknife estimator with an area-specific leading term. We show that a modification of Rao's method leads to a nearly unbiased area-specific jackknife estimator, which is also nearly unbiased for the conditional mean squared error given the area-specific responses. We examine the relative performances of the jackknife estimators, conditionally as well as unconditionally, in a simulation study, and apply the proposed method to estimate small area mean squared errors in disease mapping problems. Copyright 2009, Oxford University Press.

Date: 2009
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