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

DOI10.1214/07-AOS512zbMATH Open1360.62378arXiv0806.2931MaRDI QIDQ930652FDOQ930652

Partha Lahiri, Snigdhansu Chatterjee, Huilin Li

Publication date: 1 July 2008

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

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.

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bagging predictors
• Bootstrap confidence intervals. With comments and a rejoinder by the authors
• On Parametric Bootstrap Methods for Small Area Prediction
• A unified jackknife theory for empirical best prediction with \(M\)-estimation
• 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 estimation of mean-squared prediction error in nested-error regression models
• On measuring the variability of small area estimators under a basic area level model
• Generalized, linear, and mixed models
• Approaches for Empirical Bayes Confidence Intervals
• Predictive fit for natural exponential families
• Parametric Empirical Bayes Inference: Theory and Applications
• The Estimation of the Mean Squared Error of Small-Area Estimators
• Edgeworth corrected pivotal statistics and the bootstrap
• The maximum likelihood prior
• Improved minimax predictive densities under Kullback-Leibler loss
• Shrinkage priors for Bayesian prediction
• A shrinkage predictive distribution for multivariate normal observables
• On asymptotic properties of predictive distributions
• On Parametric Bootstrapping and Bayesian Prediction
• Invariant Prior Distributions
• Goodness of prediction fit
• Empirical Bayes Confidence Intervals Based on Bootstrap Samples
• REML estimation: Asymptotic behavior and related topics
• Calibrating Prediction Regions
• A general framework for model-based statistics
• Empirical Bayes prediction intervals in a normal regression model: higher order asymptotics.
• On an Asymptotic Theory of Conditional and Unconditional Coverage Probabilities of Empirical Bayes Confidence Intervals
• Refining Bootstrap Simultaneous Confidence Sets
• On the estimation of parametric density functions
• A Note on the Estimation of Probability Density Functions
• Nonparametric bootstrap prediction
• Prediction-interval procedures and (fixed-effects) confidence-interval procedures for mixed linear models

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
• Hermite expansion and estimation of monotonic transformations of Gaussian data
• Bottom-up estimation and top-down prediction: solar energy prediction combining information from multiple sources
• Small area estimators based on restricted mixed models
• 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
• Classified Mixed Model Prediction
• 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
• Numerical Comparison Between Different Empirical Prediction Intervals Under the Fay-Herriot Model
• Accurate Confidence Interval Estimation of Small Area Parameters Under the Fay–Herriot Model
• Spatial robust small area estimation
• Bootstrap estimation of uncertainty in prediction for generalized linear mixed models
• 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
• Simultaneous inference for linear mixed model parameters with an application to small area estimation
• 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
• On longitudinal moving average model for prediction of subpopulation total
• Small area estimation via M-quantile geographically weighted regression
• New important developments in small area estimation
• A second-order efficient empirical Bayes confidence interval

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)