Heteroscedastic nested error regression models with variance functions

DOI10.5705/SS.202015.0318MaRDI QIDQ5278096zbMATH OpenOpenAlexFDO

Authors Shonosuke Sugasawa, Tatsuya Kubokawa

Publication date 13 July 2017

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.07369

zbMATH Keywords

empirical best linear unbiased predictorheteroscedastic variancemean squared errornested error regressionsmall area estimationvariance function

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Asymptotic properties of parametric estimators (62F12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05)

Abstract: The nested error regression model is a useful tool for analyzing clustered (grouped) data, and is especially used in small area estimation. The classical nested error regression model assumes normality of random effects and error terms, and homoscedastic variances. However, these assumptions are often violated in real applications and more flexible models are required. This article proposes a nested error regression model with heteroscedastic variances, where the normality for the underlying distributions is not assumed. We propose the structure of heteroscedastic variances by using some specified variance functions and some covariates with unknown parameters. Under the setting, we construct the moment-type estimators of model parameters and some asymptotic properties including asymptotic biases and variances are derived. For predicting linear quantities including random effects, we suggest the empirical best linear unbiased predictors and the second-order unbiased estimators of mean squared errors are derived in the closed form. We investigate the proposed method with simulation and empirical studies.

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Cited in

(13)

• Estimation of regression models with nested error structure and unequal error variances under two and three stage cluster sampling
• Prediction in heteroscedastic nested error regression models with random dispersions
• Inference for nested error linear regression models with unequal error variances
• Empirical Bayes methods in nested error regression models with skew-normal errors
• Bayesian estimators in uncertain nested error regression models
• Small area estimation via heteroscedastic nested-error regression
• Linear Mixed Models with Heterogeneous within-Cluster Variances
• Nonparametric estimation of mean-squared prediction error in nested-error regression models
• Heteroscedastic regression models with non-normally distributed errors
• Robust estimation of mean squared prediction error in small‐area estimation
• Bootstrap-based statistical inference for linear mixed effects under misspecifications
• Latent-class trajectory modeling with a heterogeneous mean-variance relation
• Small area estimation with mixed models: a review

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