Bayesian estimators in uncertain nested error regression models

DOI10.1016/J.JMVA.2016.09.011MaRDI QIDQ2374399zbMATH OpenOpenAlexFDO

Authors Tatsuya Kubokawa, Shonosuke Sugasawa

Publication date 15 December 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.07942

zbMATH Keywords

small area estimationBayesian estimatorposterior proprietynested error regression modeluncertain random effect

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05)

Abstract: Nested error regression models are useful tools for analysis of grouped data, especially in the case of small area estimation. This paper suggests a nested error regression model using uncertain random effects in which the random effect in each area is expressed as a mixture of a normal distribution and a positive mass at $0$. For estimation of the model parameters and prediction of the random effects, an objective Bayesian inference is proposed by setting non-informative prior distributions on the model parameters. Under mild sufficient conditions, it is shown that the posterior distribution is proper and the posterior variances are finite, confirming the validity of posterior inference. To generate samples from the posterior distribution, we provide the Gibbs sampling method with familiar forms for all the full conditional distributions. This paper also addresses the problem of predicting finite population means, and a sampling-based method is suggested to tackle this issue. Finally, the proposed model is compared with the conventional nested error regression model through simulation and empirical studies.

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Cites work

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Cited in

(4)

• Small area estimation under transformed nested-error regression models
• Small area estimation with mixed models: a review
• Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods
• Heteroscedastic nested error regression models with variance functions

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