On asymmetry of prediction errors in small area estimation

Tomasz  Żądło

doi:https://doi.org/10.59170/stattrans-2017-021

On asymmetry of prediction errors in small area estimation

Tomasz Żądło University of Economics in Katowice, Faculty of Management, Katowice, Poland. Statistics in Transition new series, vol. 18, 2017, 3, pages: 413-432 Published online: 1 September 2017 https://doi.org/10.59170/stattrans-2017-021

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ABSTRACT

The mean squared error reflects only the average prediction accuracy while the distribution of squared prediction error is positively skewed. Hence, assessing or comparing accuracy based on the MSE (which is the mean of squared errors) is insufficient and even inadequate because we should be interested not only in the average but in the whole distribution of prediction errors. This is the reason why we propose to use different than MSE measures of prediction accuracy in small area estimation. In the prediction accuracy comparisons we take into account our proposal for the empirical best predictor, which is a generalization of the predictor presented by Molina and Rao (2010). The generalization results from the assumption of a longitudinal model and possible changes of the population and subpopulations in time.

KEYWORDS

empirical best predictor, prediction errors, small area estimation.

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