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Conditional AIC under Covariate Shift with Application to Small Area Prediction

Author

Listed:
  • Yuki Kawakubo

    (Graduate School of Economics, The University of Tokyo)

  • Shonosuke Sugasawa

    (Graduate School of Economics, The University of Tokyo)

  • Tatsuya Kubokawa

    (Faculty of Economics, The University of Tokyo)

Abstract

In this paper, we consider the problem of selecting explanatory variables of fixed effects in linear mixed models under covariate shift, which is the situation that the values of covariates in the predictive model are different from those in the observed model. We construct a variable selection criterion based on the conditional Akaike information introduced by Vaida and Blanchard (2005) and the proposed criterion is generalization of the conditional Akaike information criterion (conditional AIC) in terms of covariate shift. We especially focus on covariate shift in small area prediction and show usefulness of the proposed criterion through simulation studies.

Suggested Citation

  • Yuki Kawakubo & Shonosuke Sugasawa & Tatsuya Kubokawa, 2014. "Conditional AIC under Covariate Shift with Application to Small Area Prediction," CIRJE F-Series CIRJE-F-944, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2014cf944
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2014/2014cf944.pdf
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    References listed on IDEAS

    as
    1. Kubokawa, Tatsuya & Nagashima, Bui, 2012. "Parametric bootstrap methods for bias correction in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 1-16.
    2. Yu, Dalei & Yau, Kelvin K.W., 2012. "Conditional Akaike information criterion for generalized linear mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 629-644.
    3. Kawakubo, Yuki & Kubokawa, Tatsuya, 2014. "Modified conditional AIC in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 44-56.
    4. Kubokawa, Tatsuya, 2011. "Conditional and unconditional methods for selecting variables in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 641-660, March.
    5. Srivastava, Muni S. & Kubokawa, Tatsuya, 2010. "Conditional information criteria for selecting variables in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 1970-1980, October.
    6. Yu, Dalei & Zhang, Xinyu & Yau, Kelvin K.W., 2013. "Information based model selection criteria for generalized linear mixed models with unknown variance component parameters," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 245-262.
    7. M. C. Donohue & R. Overholser & R. Xu & F. Vaida, 2011. "Conditional Akaike information under generalized linear and proportional hazards mixed models," Biometrika, Biometrika Trust, vol. 98(3), pages 685-700.
    8. Hua Liang & Hulin Wu & Guohua Zou, 2008. "A note on conditional aic for linear mixed-effects models," Biometrika, Biometrika Trust, vol. 95(3), pages 773-778.
    9. Sonja Greven & Thomas Kneib, 2010. "On the behaviour of marginal and conditional AIC in linear mixed models," Biometrika, Biometrika Trust, vol. 97(4), pages 773-789.
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    Cited by:

    1. Simona Buscemi & Antonella Plaia, 2020. "Model selection in linear mixed-effect models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(4), pages 529-575, December.

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