Abstract
We show that in the case of Fay–Herriot model for small area estimation, there is an estimator of the variance of the random effects so that the resulting EBLUP is the best in the sense that it minimizes the leading term in the asymptotic expansion of the mean squared error (MSE) of the EBLUP. In particular, in the balanced case, i.e., when the sampling variances are equal, this best EBLUP has the minimal MSE in the exact sense. We also propose a modified Prasad–Rao MSE estimator which is second-order unbiased and show that it is less biased than the jackknife MSE estimator in a suitable sense in the balanced case. A real data example is discussed.
Similar content being viewed by others
References
Datta G.S., Lahiri P. (2000) A unified measure of uncertainty of estimated best linear unbiased predictors in small area estimation problems. Statistica Sinica 10: 613–627
Datta G.S., Rao J.N.K., Smith D.D. (2005) On measuring the variability of small area estimators under a basic area level model. Biometrika 92: 183–196
Fay R.E., Herriot R.A. (1979) Estimates of income for small places: An application of James–Stein procedures to census data. Journal of the American Statistical Association 74: 269–277
Ganesh N. (2009) Simultaneous credible intervals for small area estimation problems. Journal of Multivariate Analysis 100: 1610–1621
Jiang J. (2007) Linear and generalized linear mixed models and their applications. Springer, New York, p 16
Jiang J., Lahiri P. (2006) Mixed model prediction and small area estimation (with discussion). TEST 15: 1–96
Jiang J., Lahiri P., Wan S. (2002) A unified jackknife theory for empirical best prediction with M-estimation. Annals of Statistics 30: 1782–1810
Morris C.N., Christiansen C.L. (1996) Hierarchical models for ranking and for identifying extremes with applications. In: Bernardo J.M., Berger J.O., Dawid A.P., Smith A.F.M. (eds) Bayes statistics (Vol. 5). Oxford University Press, Oxford, pp 277–297
Pfeffermann D., Nathan G. (1981) Regression analysis of data from a cluster sample. Journal of the American Statistical Association 76: 681–689
Prasad N.G.N., Rao J.N.K. (1990) The estimation of mean squared errors of small area estimators. Journal of the American Statistical Association 85: 163–171
Rao J.N.K. (2003) Small area estimation. Wiley, New York
Searle S.R. (1982) Matrix algebra useful for statistics. Wiley, New York, p 312
Searle S.R., Casella G., McCulloch C.E. (1992) Variance components. Wiley, New York, p 467
Srivastava V.K., Tiwari R. (1976) Evaluation of expectation of products of stochastic matrices. Scandinavian Journal of Statistics 3: 135–138
Tang, E.-T. (2008). On the estimation of the mean squared error in small area estimation and related topics. Ph.D. dissertation. Davis, CA: Department of Statistics, University of California.
Author information
Authors and Affiliations
Corresponding author
About this article
Cite this article
Jiang, J., Tang, ET. The best EBLUP in the Fay–Herriot model. Ann Inst Stat Math 63, 1123–1140 (2011). https://doi.org/10.1007/s10463-010-0281-x
Received:
Revised:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10463-010-0281-x