Likelihood Prediction for Generalized Linear Mixed Models under Covariate Uncertainty |
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Authors: | Md. Moudud Alam |
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Affiliation: | 1. School of Technology and Business Studies , Dalarna University, Sweden and Swedish Business School, ?rebro University , Sweden maa@du.se |
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Abstract: | This article presents the techniques of likelihood prediction for the generalized linear mixed models. Methods of likelihood prediction are explained through a series of examples; from a classical one to more complicated ones. The examples show, in simple cases, that the likelihood prediction (LP) coincides with already known best frequentist practice such as the best linear unbiased predictor. This article outlines a way to deal with the covariate uncertainty while producing predictive inference. Using a Poisson errors-in-variable generalized linear model, it has been shown in certain cases that LP produces better results than already known methods. |
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Keywords: | Coverage interval Credit risk prediction Future value prediction Predictive likelihood Profile predictive likelihood Stochastic covariate |
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