Simultaneous prediction in the generalized linear model
- Resource Type
- article
- Authors
- Bai Chao; Li Haiqi
- Source
- Open Mathematics, Vol 16, Iss 1, Pp 1037-1047 (2018)
- Subject
- generalized linear model
simultaneous prediction
best linear unbiased prediction
62m20
62j12
Mathematics
QA1-939
- Language
- English
- ISSN
- 2391-5455
This paper studies the prediction based on a composite target function that allows to simultaneously predict the actual and the mean values of the unobserved regressand in the generalized linear model. The best linear unbiased prediction (BLUP) of the target function is derived. Studies show that our BLUP has better properties than some other predictions. Simulations confirm its better finite sample performance.