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Tests for the variance parameter in the Fay–Herriot model

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Marhuenda García, Yolanda y Morales, D. y Pardo Llorente, María del Carmen (2016) Tests for the variance parameter in the Fay–Herriot model. Statistics, 50 (1). pp. 27-42. ISSN 0233-1888

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URL Oficial: http://www.tandfonline.com/doi/abs/10.1080/02331888.2015.1016026


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Resumen

The Fay-Herriot model is a linear mixed model that plays a relevant role in small area estimation (SAE). Under the SAE set-up, tools for selecting an adequate model are required. Applied statisticians are often interested on deciding if it is worthwhile to use a mixed effect model instead of a simpler fixed-effect model. This problem is not standard because under the null hypothesis the random effect variance is on the boundary of the parameter space. The likelihood ratio test and the residual likelihood ratio test are proposed and their finite sample distributions are derived. Finally, we analyse their behaviour under simulated scenarios and we also apply them to real data


Tipo de documento:Artículo
Palabras clave:Fay-Herriot model; small area estimation; zero variance component; likelihood ratio test; Monte Carlo simulation
Materias:Ciencias > Matemáticas > Estadística matemática
Código ID:35018
Depositado:18 Ene 2016 13:27
Última Modificación:17 Oct 2016 10:54

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