Mean Squared Error of Empirical Predictor

@inproceedings{Jiang2004MeanSE,
  title={Mean Squared Error of Empirical Predictor},
  author={Jiming Jiang and J. N. K. Rao},
  year={2004}
}
The term “empirical predictor” refers to a two-stage predictor of a linear combination of fixed and random effects. In the first stage, a predictor is obtained but it involves unknown parameters; thus, in the second stage, the unknown parameters are replaced by their estimators. In this paper, we consider mean squared errors (MSE) of empirical predictors under a general setup, where ML or REML estimators are used for the second stage. We obtain second-order approximation to the MSE as well as… CONTINUE READING

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