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Estimation and Prediction Intervals in Transformed Linear Mixed Models

Author

Listed:
  • Hisayuki Tsukuma

    (Faculty of Medicine, Toho University)

  • Tatsuya Kubokawa

    (Faculty of Economics, The University of Tokyo)

Abstract

　　 This paper addresses the problem of estimating the mean vector of a singular multivariate normal distribution with an unknown singular covariance matrix. The maximum likelihood estimator is shown to be minimax relative to a quadratic loss weighted by the Moore-Penrose inverse of the covariance matrix. An unbiased risk estimator relative to the weighted quadratic loss is provided for a Baranchik type class of shrinkage estimators. Based on the unbiased risk estimator, a sufficient condition for the minimaxity is expressed not only as a differential inequality, but also as an integral inequality. Also, generalized Bayes minimax estimators are established by using an interesting structure of singular multivariate normal distribution.

Suggested Citation

  • Hisayuki Tsukuma & Tatsuya Kubokawa, 2014. "Estimation and Prediction Intervals in Transformed Linear Mixed Models," CIRJE F-Series CIRJE-F-930, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2014cf930
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    References listed on IDEAS

    as
    1. Wells, Martin T. & Zhou, Gongfu, 2008. "Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2208-2220, November.
    2. Díaz-García, José A. & Jáimez, Ramón Gutierrez & Mardia, Kanti V., 1997. "Wishart and Pseudo-Wishart Distributions and Some Applications to Shape Theory," Journal of Multivariate Analysis, Elsevier, vol. 63(1), pages 73-87, October.
    3. Olkin, Ingram, 1998. "The density of the inverse and pseudo-inverse of a random matrix," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 131-135, June.
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