On estimation of mean squared errors of benchmarked empirical Bayes estimators

DOI10.5705/SS.2012.053MaRDI QIDQ4921674zbMATH OpenOpenAlexFDO

Authors Rebecca C. Steorts, Malay Ghosh

Publication date 13 May 2013

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.1600

zbMATH Keywords

benchmarkingempirical BayesFay-Herriotmean squared errorparametric bootstrapsmall-area

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Sampling theory, sample surveys (62D05) Bootstrap, jackknife and other resampling methods (62F40)

Abstract: We consider benchmarked empirical Bayes (EB) estimators under the basic area-level model of Fay and Herriot while requiring the standard benchmarking constraint. In this paper we determine the excess mean squared error (MSE) from constraining the estimates through benchmarking. We show that the increase due to benchmarking is O(m^{-1}), where m is the number of small areas. Furthermore, we find an asymptotically unbiased estimator of this MSE and compare it to the second-order approximation of the MSE of the EB estimator or, equivalently, of the MSE of the empirical best linear unbiased predictor (EBLUP), that was derived by Prasad and Rao (1990). Morever, using methods similar to those of Butar and Lahiri (2003), we compute a parametric bootstrap estimator of the MSE of the benchmarked EB estimator under the Fay-Herriot model and compare it to the MSE of the benchmarked EB estimator found by a second-order approximation. Finally, we illustrate our methods using SAIPE data from the U.S. Census Bureau, and in a simulation study.

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• Assessing the performance of empirical Bayes estimators
• Single- and two-stage cross-sectional and time series benchmarking procedures for small area estimation
• Benchmarked empirical Bayes methods in multiplicative area-level models with risk evaluation
• Constrained empirical Bayes estimator and its uncertainty in normal linear mixed models
• Estimation of multi-way tables subject to coherence constraints
• The Fay–Herriot model for multiply imputed data with an application to regional wealth estimation in Germany
• Small area estimation with spatially varying natural exponential families
• Performance of the empirical Bayes estimator for fixed parameters
• Benchmarked linear shrinkage prediction in the Fay–Herriot small area model
• Smoothing and Benchmarking for Small Area Estimation
• Benchmarked Estimators for a Small Area Mean Under a Onefold Nested Regression Model
• Some Variants of Constrained Estimation in Finite Population Sampling
• Constrained Bayes in multiplicative area-level models under the precautionary loss function
• saebenchmarking

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