Analytic and Bootstrap Approximations of Prediction Errors Under a Multivariate Fay-Herriot Model Articles uri icon

publication date

  • August 2008

start page

  • 5242

end page

  • 5252

issue

  • 12

volume

  • 52

international standard serial number (ISSN)

  • 0167-9473

electronic international standard serial number (EISSN)

  • 1872-7352

abstract

  • The prediction of vectors of small area quantities based on a multivariate Fay&-Herriot model is addressed. For this, an empirical best linear unbiased predictor (EBLUP) of the target vector is used, where the model parameters are estimated by two different methods based on moments. The mean cross product error matrix of the multidimensional EBLUP is approximated both analytically and by a wild bootstrap method that yields direct and bias-corrected bootstrap estimators. A simulation study compares the small sample properties of the bootstrap estimators and the analytical approximation, including a comparison under lack of normality. Finally, the number of replicates needed for the bootstrap procedures to get stabilized are studied.