.png){kind=icon}
Return
Best Predictive Small Area Estimation
.png){kind=icon}
PRE
AI
DOI：10.1198/jasa.2011.tm10221.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
We derive the best predictive estimator (BPE) of the fixed parameters under two well-known small area models, the Fay-Herriot model and the nested-error regression model. This leads to a new prediction procedure, called observed best prediction (OBP), which is different from the empirical best linear unbiased prediction (EBLUP). We show that BPE is more reasonable than the traditional estimators derived from estimation considerations, such as maximum likelihood (ML) and restricted maximum likelihood (REML), if the main interest is estimation of small area means, which is a mixed-model prediction problem. We use both theoretical derivations and empirical studies to demonstrate that the OBP can significantly outperform EBLUP in terms of the mean squared prediction error (MSPE), if the underlying model is misspecified. On the other hand, when the underlying model is correctly specified, the overall predictive performance of the OBP is very similar to that of the EBLUP if the number of small areas is large. A general theory about OBP, including its exact MSPE comparison with the BLUP in the context of mixed-model prediction, and asymptotic behavior of the BPE, is developed. A real data example is considered. A supplementary appendix is available online.
Keywords:
Fay-Herriot model
Mean squared prediction error (MSPE)
Model misspecification
Nested-error regression model
Robustness
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
J
IF:
3
Papers:
5.2K
Citations:
4.8W
Organization
View more organizations
Cited Papers
ShareSaveNonparametric estimation of mean-squared prediction error in nested-error regression models.png)
ANNALS OF STATISTICS
OAAI
ANNALS OF STATISTICSIF3.7
OAAIShareSaveShareSaveShareSaveShareSaveSynaptophysin and chromogranin A immunoreactivities of Lewy bodies in Parkinson's disease brains
PREAI
ShareSave View more