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Empirical Bayes prediction intervals in a normal regression model: higher order asymptotics


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  • Basu, Ruma
  • Ghosh, J. K.
  • Mukerjee, Rahul
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    We explore two proposals for finding empirical Bayes prediction intervals under a normal regression model. The coverage probabilities and expected lengths of such intervals are studied and compared via appropriate higher-order asymptotics.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 63 (2003)
    Issue (Month): 2 (June)
    Pages: 197-203

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    Handle: RePEc:eee:stapro:v:63:y:2003:i:2:p:197-203

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    Keywords: Coverage probability Equal tail Expected length;


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    Cited by:
    1. Tatsuya Kubokawa, 2009. "A Review of Linear Mixed Models and Small Area Estimation," CIRJE F-Series CIRJE-F-702, CIRJE, Faculty of Economics, University of Tokyo.
    2. Wang, Hsiuying, 2008. "Coverage probability of prediction intervals for discrete random variables," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 17-26, September.
    3. Tatsuya Kubokawa, 2010. "On Measuring Uncertainty of Small Area Estimators with Higher Order Accuracy," CIRJE F-Series CIRJE-F-754, CIRJE, Faculty of Economics, University of Tokyo.
    4. Tatsuya Kubokawa, 2009. "Corrected Empirical Bayes Confidence Intervals in Nested Error Regression Models," CIRJE F-Series CIRJE-F-632, CIRJE, Faculty of Economics, University of Tokyo.
    5. Jiming Jiang & P. Lahiri, 2006. "Mixed model prediction and small area estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(1), pages 1-96, June.
    6. Tatsuya Kubokawa & Bui Nagashima, 2011. "Parametric Bootstrap Methods for Bias Correction in Linear Mixed Models," CIRJE F-Series CIRJE-F-801, CIRJE, Faculty of Economics, University of Tokyo.
    7. Shonosuke Sugasawa & Tatsuya Kubokawa, 2014. "Estimation and Prediction Intervals in Transformed Linear Mixed Models," CIRJE F-Series CIRJE-F-929, CIRJE, Faculty of Economics, University of Tokyo.


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