Orthodox BLUP versus h-likelihood methods for inferences about random effects in Tweedie mixed models |
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Authors: | Youngjo Lee Il Do Ha |
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Institution: | (1) Department of Statistics, Seoul National University, Seoul, 151-742, Korea;(2) Department of Mathematics, Imperial College, London, SW7 2AZ, UK;(3) Division of Mathematical Sciences, Pukyong National University, Busan, 608-737, Korea |
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Abstract: | Recently, the orthodox best linear unbiased predictor (BLUP) method was introduced for inference about random effects in Tweedie
mixed models. With the use of h-likelihood, we illustrate that the standard likelihood procedures, developed for inference
about fixed unknown parameters, can be used for inference about random effects. We show that the necessary standard error
for the prediction interval of the random effect can be computed from the Hessian matrix of the h-likelihood. We also show
numerically that the h-likelihood provides a prediction interval that maintains a more precise coverage probability than the
BLUP method. |
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