Nonparametric estimation of mean-squared prediction error in nested-error regression models

DOI10.1214/009053606000000579zbMATH Open1246.62106arXivmath/0509493OpenAlexW3106231331MaRDI QIDQ449945FDOQ449945

Tapabrata Maiti, Peter Hall

Publication date: 3 September 2012

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

Abstract: Nested-error regression models are widely used for analyzing clustered data. For example, they are often applied to two-stage sample surveys, and in biology and econometrics. Prediction is usually the main goal of such analyses, and mean-squared prediction error is the main way in which prediction performance is measured. In this paper we suggest a new approach to estimating mean-squared prediction error. We introduce a matched-moment, double-bootstrap algorithm, enabling the notorious underestimation of the naive mean-squared error estimator to be substantially reduced. Our approach does not require specific assumptions about the distributions of errors. Additionally, it is simple and easy to apply. This is achieved through using Monte Carlo simulation to implicitly develop formulae which, in a more conventional approach, would be derived laboriously by mathematical arguments.

Full work available at URL: https://arxiv.org/abs/math/0509493

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zbMATH Keywords

bootstrapwild bootstrapbias reductiondeconvolutionmixed effectsdouble bootstraptwo-stage estimationbest linear unbiased predictormean-squared errorempirical predictormoment-matching bootstrapsmall-area inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09)

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Cited In (39)

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• Small area estimation of poverty proportions under unit-level temporal binomial-logit mixed models
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