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Nonparametric estimation of mean-squared prediction error in nested-error regression models

Hall, Peter; Maiti, Tapabrata


Nested-error regression models are widely used for analyzing clustered data. For example, they are often applied to two-stage sample surveys, and in biology and econometrics. Prediction is usually the main goal of such analyses, and mean-squared prediction error is the main way in which prediction performance is measured. In this paper we suggest a new approach to estimating mean-squared prediction error. We introduce a matched-moment, double-bootstrap algorithm, enabling the notorious...[Show more]

CollectionsANU Research Publications
Date published: 2005-09-22
Type: Journal article
Source: Annals of Statistics 2006, Vol. 34, No. 4, 1733-1750
DOI: 10.1214/009053606000000579


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