Empirical best prediction under a nested error model with log transformation

DOI10.1214/17-AOS1608zbMATH Open1406.62015arXiv1404.5465OpenAlexW2886809461WikidataQ129368772 ScholiaQ129368772MaRDI QIDQ104740FDOQ104740

Authors: Isabel Molina, Nirian Martín, Isabel Molina, N. Martín 

Publication date: 1 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In regression models involving economic variables such as income, log transformation is typically taken to achieve approximate normality and stabilize the variance. However, often the interest is predicting individual values or means of the variable in the original scale. Back transformation of predicted values introduces a non-negligible bias. Moreover, assessing the uncertainty of the actual predictor is not straightforward. In this paper, a nested error model for the log transformation of the target variable is considered. Nested error models are widely used for estimation of means in subpopulations with small sample sizes (small areas), by linking all the areas through common parameters. These common parameters are estimated using the overall set of sample data, which leads to much more efficient small area estimators. Analytical expressions for the best predictors of individual values of the original variable and of small area means are obtained under the nested error model with log transformation of the target variable. Empirical best predictors are defined by estimating the unknown model parameters in the best predictors. Exact mean squared errors of the best predictors and second order approximations to the mean squared errors of the empirical best predictors are derived. Mean squared error estimators that are second order correct are also obtained. An example with Mexican data on living conditions illustrates the procedures.

Full work available at URL: https://arxiv.org/abs/1404.5465

Recommendations

• Uncertainty under a multivariate nested-error regression model with logarithmic transforma\-tion
• Small area estimation under transformed nested-error regression models
• Small-area estimation under a log-transformed area-level model
• Mean-Squared Error Estimation in Transformed Fay–Herriot Models
• Adaptively transformed mixed-model prediction of general finite-population parameters

zbMATH Keywords

parametric bootstrapregression modelempirical best estimatorbest predictionmean squared errornested error

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20) Sampling theory, sample surveys (62D05) Inference from stochastic processes and prediction (62M20)

Cites Work

• Small area estimation of poverty indicators
• Asymptotic properties of maximum likelihood estimates in the mixed model of the analysis of variance
• On Parametric Bootstrap Methods for Small Area Prediction
• Bootstrap mean squared error of a small-area EBLUP
• Micro-Level Estimation of Poverty and Inequality
• Small area estimation
• Mean-Squared Error Estimation in Transformed Fay–Herriot Models
• Uncertainty under a multivariate nested-error regression model with logarithmic transforma\-tion
• A unified Monte-Carlo jackknife for small area estimation after model selection
• On measures of uncertainty of empirical Bayes small-area estimators
• Mean squared error of empirical predictor.
• New important developments in small area estimation
• Small area estimation of general parameters with application to poverty indicators: a hierarchical Bayes approach
• Nonparametric estimation of mean-squared prediction error in nested-error regression models
• Variance components.
• Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters

Cited In (11)

• Hierarchical Bayesian models for continuous and positively skewed data from small areas
• Small area prediction for a unit-level lognormal model
• Adaptively transformed mixed-model prediction of general finite-population parameters
• Small area estimation of general parameters: Bayesian transformed spatial prediction approach
• Bivariate small‐area estimation for binary and gaussian variables based on a conditionally specified model
• Small area estimation with mixed models: a review
• Arc-Sin Transformation for Binomial Sample Proportions in Small Area Estimation
• Estimation of poverty and inequality in small areas: review and discussion
• saeTrafo
• On properties of empirical best predictors
• Uncertainty under a multivariate nested-error regression model with logarithmic transforma\-tion

Uses Software

• sae

This page was built for publication: Empirical best prediction under a nested error model with log transformation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q104740)