mspeFHpb {saeMSPE} | R Documentation |
Compute MSPE through parameter bootstrap method for Fay Herriot model
Description
This function returns MSPE estimator with parameter bootstrap method for Fay Herriot model.
Usage
mspeFHpb(Y, X, D, K = 50, method = 4)
Arguments
Y |
(vector). It represents the response value for Fay Herriot model. |
X |
(matrix). Stands for the available auxiliary values. |
D |
(vector). It represents the knowing sampling variance for Fay Herriot model. |
K |
(integer). It represents the bootstrap sample number. Default value is 50. |
method |
The variance component estimation method to be used. See "Details". |
Details
This method was proposed by Peter Hall and T. Maiti. Parametric bootstrap (pb) method uses bootstrap-based method to measure the accuracy of the EB estimator. In this case, only EB estimator is available (method = 4
).
Value
This function returns a list with components:
MSPE |
(vector) MSPE estimates for Fay Herriot model. |
bhat |
(vector) Estimates of the unknown regression coefficients. |
Ahat |
(numeric) Estimates of the variance component. |
Author(s)
Peiwen Xiao, Xiaohui Liu, Yuzi Liu, Jiming Jiang, and Shaochu Liu
References
F. B. Butar and P. Lahiri. On measures of uncertainty of empirical bayes small area estimators. Journal of Statistical Planning and Inference, 112(1-2):63-76, 2003.
N. G. N. Prasad and J. N. K. Rao. The estimation of the mean squared error of small-area estimators. Journal of the American Statistical Association, 85(409):163-171, 1990.
Peter Hall and T. Maiti. On parametric bootstrap methods for small area prediction. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2006a.
H. T. Maiti and T. Maiti. Nonparametric estimation of mean squared prediction error in nested error regression models. Annals of Statistics, 34(4):1733-1750, 2006b.
Examples
X = matrix(runif(10 * 3), 10, 3)
X[,1] = rep(1, 10)
D = (1:10) / 10 + 0.5
Y = X %*% c(0.5,1,1.5) + rnorm(10, 0, sqrt(2)) + rnorm(10, 0, sqrt(D))
mspeFHpb(Y, X, D, K = 50, method = 4)