Recently, an empirical best linear unbiased predictor is widely used as a practical approach to small area inference. It is also of interest to construct empirical prediction intervals. However, we do not know which method should be used from among the several existing prediction intervals. In this article, we first obtain an empirical prediction interval by using the residual maximum likelihood method for estimating unknown model variance parameters. Then we compare the later with other intervals with the residual maximum likelihood method. Additionally, some different parametric bootstrap methods for constructing empirical prediction intervals are also compared in a simulation study.
|Number of pages
|Communications in Statistics: Simulation and Computation
|Published - May 7 2015
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modelling and Simulation