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Empirical Bayes prediction for a mixed linear model with autoregressive errors


  • Sajjan, S. G.
  • Basawa, I. V.


An empirical Bayes predictor is derived for a vector of future observations in a mixed linear model with errors following a first-order autoregressive process. The consistency and the asymptotic normality of the empirical Bayes predictor are established.

Suggested Citation

  • Sajjan, S. G. & Basawa, I. V., 1996. "Empirical Bayes prediction for a mixed linear model with autoregressive errors," Statistics & Probability Letters, Elsevier, vol. 29(1), pages 1-7, August.
  • Handle: RePEc:eee:stapro:v:29:y:1996:i:1:p:1-7

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    References listed on IDEAS

    1. Rojo, Javier & He, Guo Zhong, 1991. "New properties and characterizations of the dispersive ordering," Statistics & Probability Letters, Elsevier, vol. 11(4), pages 365-372, April.
    2. Pham-Gia, T., 1994. "The hazard rate of the power-quadratic exponential family of distributions," Statistics & Probability Letters, Elsevier, vol. 20(5), pages 375-382, August.
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