Bayesian estimators for small area models shrinking both means and variances

DOI10.1111/SJOS.12246zbMATH Open1361.62008arXiv1507.05179OpenAlexW2340792812MaRDI QIDQ2965540FDOQ2965540

Authors: Shonosuke Sugasawa, Hiromasa Tamae, Tatsuya Kubokawa 

Publication date: 3 March 2017

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: For small area estimation of area-level data, the Fay-Herriot model is extensively used as a model based method. In the Fay-Herriot model, it is conventionally assumed that the sampling variances are known whereas estimators of sampling variances are used in practice. Thus, the settings of knowing sampling variances are unrealistic and several methods are proposed to overcome this problem. In this paper, we assume the situation where the direct estimators of the sampling variances are available as well as the sample means. Using these information, we propose a Bayesian yet objective method producing shrinkage estimation of both means and variances in the Fay-Herriot model. We consider the hierarchical structure for the sampling variances and we set uniform prior on model parameters to keep objectivity of the proposed model. For validity of the posterior inference, we show under mild conditions that the posterior distribution is proper and has finite variances. We investigate the numerical performance through simulation and empirical studies.

Full work available at URL: https://arxiv.org/abs/1507.05179

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zbMATH Keywords

Markov chain Monte CarloFay-Herriot modelsmall area estimationmean squared errorBayesian estimationGibbs samplingposterior proprietyshrinking both means and variances

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

Cites Work

• Bayesian Measures of Model Complexity and Fit
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Cited In (22)

• A new adjusted maximum likelihood method for the Fay-Herriot small area model
• On propriety of posterior distributions of variance components in small area estimation
• Bayesian model comparison and model averaging for small-area estimation
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• A comparison of adjusted Bayes Estimators of an ensemble of small area parameters
• Benchmarked linear shrinkage prediction in the Fay–Herriot small area model
• Shrinkage estimation with singular priors and an application to small area estimation
• Joint point and variance estimation under a hierarchical Bayesian model for survey count data
• An adjusted maximum likelihood method for solving small area estimation problems
• Robust prediction of domain compositions from uncertain data using isometric logratio transformations in a penalized multivariate Fay–Herriot model
• Empirical Bayes Confidence Intervals Shrinking Both Means and Variances
• Bivariate hierarchical Bayesian model for combining summary measures and their uncertainties from multiple sources
• Small area estimation with mixed models: a review
• Selection of prior for the variance component and approximations for posterior moments in the Fay-Herriot model
• A new robust Bayesian small area estimation via ‐stable model for estimating the proportion of athletic students in California
• Improved Small Domain Estimation via Compromise Regression Weights
• An objective stepwise Bayes approach to small area estimation
• On measuring the variability of small area estimators under a basic area level model
• Multilevel time-series models for small area estimation at different frequencies and domain levels
• A Spatial Variance‐Smoothing Area Level Model for Small Area Estimation of Demographic Rates

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