Parametric bootstrap approximation to the distribution of EBLUP and related prediction intervals in linear mixed models

DOI10.1214/07-AOS512MaRDI QIDQ930652zbMATH OpenFDO

Authors Snigdhansu Chatterjee, Partha Lahiri, Huilin Li

Publication date 1 July 2008

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

Full work available at URL https://arxiv.org/abs/0806.2931

zbMATH Keywords

bootstraplinear mixed modelpredictive distributioncoverage accuracyprediction intervalsmall area

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Parametric tolerance and confidence regions (62F25) Empirical decision procedures; empirical Bayes procedures (62C12)

Abstract: Empirical best linear unbiased prediction (EBLUP) method uses a linear mixed model in combining information from different sources of information. This method is particularly useful in small area problems. The variability of an EBLUP is traditionally measured by the mean squared prediction error (MSPE), and interval estimates are generally constructed using estimates of the MSPE. Such methods have shortcomings like under-coverage or over-coverage, excessive length and lack of interpretability. We propose a parametric bootstrap approach to estimate the entire distribution of a suitably centered and scaled EBLUP. The bootstrap histogram is highly accurate, and differs from the true EBLUP distribution by only $O(d^3{n}^{-3/2})$, where $d$ is the number of parameters and $n$ the number of observations. This result is used to obtain highly accurate prediction intervals. Simulation results demonstrate the superiority of this method over existing techniques of constructing prediction intervals in linear mixed models.

Recommendations

• Parametric bootstrap methods for bias correction in linear mixed models
• On Parametric Bootstrap Methods for Small Area Prediction
• Empirical best prediction for small-area inference based on generalized linear mixed models
• Assessing different uncertainty measures of EBLUP: a resampling-based approach
• Resampling-based empirical prediction: an application to small area estimation

Cites work

• scientific article; zbMATH DE number 992993 (Why is no real title available?)
• scientific article; zbMATH DE number 3930141 (Why is no real title available?)
• scientific article; zbMATH DE number 3555223 (Why is no real title available?)
• scientific article; zbMATH DE number 1203743 (Why is no real title available?)
• scientific article; zbMATH DE number 469331 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1086063 (Why is no real title available?)
• scientific article; zbMATH DE number 1779495 (Why is no real title available?)
• scientific article; zbMATH DE number 1907572 (Why is no real title available?)
• scientific article; zbMATH DE number 3223275 (Why is no real title available?)
• A Note on the Estimation of Probability Density Functions
• A general framework for model-based statistics
• A shrinkage predictive distribution for multivariate normal observables
• A unified jackknife theory for empirical best prediction with \(M\)-estimation
• Approaches for Empirical Bayes Confidence Intervals
• Bagging predictors
• Bootstrap confidence intervals. With comments and a rejoinder by the authors
• Calibrating Prediction Regions
• Edgeworth corrected pivotal statistics and the bootstrap
• Empirical Bayes Confidence Intervals Based on Bootstrap Samples
• Empirical Bayes prediction intervals in a normal regression model: higher order asymptotics.
• Generalized, linear, and mixed models
• Goodness of prediction fit
• Improved minimax predictive densities under Kullback-Leibler loss
• Invariant Prior Distributions
• Mean squared error of empirical predictor.
• Mixed model prediction and small area estimation. (With comments of P. Hall, D. Morales, C. N. Morris, J. N. K. Rao, and J. L. Eltinge)
• Nonparametric bootstrap prediction
• Nonparametric estimation of mean-squared prediction error in nested-error regression models
• On Parametric Bootstrap Methods for Small Area Prediction
• On Parametric Bootstrapping and Bayesian Prediction
• On an Asymptotic Theory of Conditional and Unconditional Coverage Probabilities of Empirical Bayes Confidence Intervals
• On asymptotic properties of predictive distributions
• On measuring the variability of small area estimators under a basic area level model
• On the estimation of parametric density functions
• Parametric Empirical Bayes Inference: Theory and Applications
• Prediction-interval procedures and (fixed-effects) confidence-interval procedures for mixed linear models
• Predictive fit for natural exponential families
• REML estimation: Asymptotic behavior and related topics
• Refining Bootstrap Simultaneous Confidence Sets
• Shrinkage priors for Bayesian prediction
• The Estimation of the Mean Squared Error of Small-Area Estimators
• The maximum likelihood prior

Cited in

(34)

• Constrained empirical Bayes estimator and its uncertainty in normal linear mixed models
• Corrected empirical Bayes confidence region in a multivariate Fay-Herriot model
• Discussion on ``Estimating random effects via adjustment for density maximization by C. Morris and R. Tang
• Corrected empirical Bayes confidence intervals in nested error regression models
• Bottom-up estimation and top-down prediction: solar energy prediction combining information from multiple sources
• Small area estimators based on restricted mixed models
• Hermite expansion and estimation of monotonic transformations of Gaussian data
• Small area semiparametric additive monotone models
• Parametric bootstrap methods for bias correction in linear mixed models
• Empirical best linear unbiased predictors in multivariate nested-error regression models
• Non-area-specific adjustment factor for second-order efficient empirical Bayes confidence interval
• Goodness-of-fit test with a robustness feature
• Transforming response values in small area prediction
• Marginal and Conditional Multiple Inference for Linear Mixed Model Predictors
• A resampling approach to estimation of the linking variance in the Fay–Herriot model
• Bias calibration for robust estimation in small areas
• Parametric transformed Fay-Herriot model for small area estimation
• An adjusted maximum likelihood method for solving small area estimation problems
• Asymptotics for EBLUPs: Nested Error Regression Models
• Spatial robust small area estimation
• Bootstrap estimation of uncertainty in prediction for generalized linear mixed models
• Simultaneous inference for linear mixed model parameters with an application to small area estimation
• Prediction intervals for penalized longitudinal models with multisource summary measures: an application to childhood malnutrition
• Bootstrap-based statistical inference for linear mixed effects under misspecifications
• Non-parametric bootstrap mean squared error estimation for \(M\)-quantile estimators of small area averages, quantiles and poverty indicators
• Small area estimation with mixed models: a review
• Simultaneous Inference for Empirical Best Predictors With a Poverty Study in Small Areas
• Classified mixed model prediction
• Small area estimation via M-quantile geographically weighted regression
• On longitudinal moving average model for prediction of subpopulation total
• New important developments in small area estimation
• Accurate confidence interval estimation of small area parameters under the Fay-Herriot model
• Numerical comparison between different empirical prediction intervals under the Fay-Herriot model
• A second-order efficient empirical Bayes confidence interval

Describes a project that uses

Uses Software

• bootstrap

This page was built for publication: Parametric bootstrap approximation to the distribution of EBLUP and related prediction intervals in linear mixed models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q930652)