Article ID Journal Published Year Pages File Type
1145556 Journal of Multivariate Analysis 2014 11 Pages PDF
Abstract
Under a balanced loss function, we investigate the optimal and minimax prediction of finite population regression coefficient in a general linear regression superpopulation model with normal errors. The best unbiased prediction (BUP) is obtained in the class of all unbiased predictors. The minimax predictor (MP) is also obtained in the class of all predictors. We prove that MP is unique in the class of all predictors and is better than BUP in a certain region of parameter space. Next, we give some conditions for optimality of the simple projection predictor (SPP) and prove that MP dominates SPP on certain occasions.
Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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