Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters

By Danny Pfeffermann, R. Tiller. 2005

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/71a17c1769642abd549905299f9bf599c0c2b6b8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Domingo Morales
2. M. José Lombardía
3. Partha Lahiri
4. Danny Pfeffermann
5. Jiming Jiang
6. Gauri Sankar Datta
7. Isabel Molina
8. R. Tiller

In Management Science and Operations Research

1. Domingo Morales
2. M. José Lombardía
3. Danny Pfeffermann
4. Isabel Molina
5. Jiming Jiang
6. Partha Lahiri
7. Gauri Sankar Datta
8. Laureano Santamaría

In Statistics and Probability

1. Domingo Morales
2. M. José Lombardía
3. Danny Pfeffermann
4. Gauri Sankar Datta
5. Partha Lahiri
6. Jiming Jiang
7. Malay Ghosh
8. Isabel Molina

Citations in the corpus

• Small area estimation of poverty proportions under unit-level temporal binomial-logit mixed models (2017, unknown): “Bootstrap-based procedures have been studied, among others in the papers of Pfefferman and Tiller (2005), Hall and Maiti (2006a, b), Pfeffermann and Correa (2012), Erciulescu (2015) and Erciulescu and Fuller (2014).”
• Small area estimates of labour force participation under a multinomial logit mixed model (2007, background): “Pfeffermann and Tiller (2005) proposed a parametric and a non-parametric bootstrap estimator of mean prediction errors under state space models.”
• Small Area Shrinkage Estimation (2012, background): “Further references to this lite- rature may be found in Pfeffermann and Tiller (2005), Lahiri (2003) and Hall and Maiti (2006).”
• Small-Area Estimation With State–Space Models Subject to Benchmark Constraints (2006, methodology): “For the case of a single state–space model (with no benchmarking), Pfeffermann and Tiller (2005) developed bootstrap variance estimators that account for estimation of the model parameters with bias of correct order, but extension of this resampling method to the pro-rated predictors defined by (4)…”
• Bootstrap mean squared error of a small-area EBLUP (2008, methodology): “Pfeffermann and Tiller 17 proposed a parametric and a nonparametric bootstrap methods for estimating the same quantity under state-space models.”
• Bootstrap prediction intervals in state–space models (2009, methodology): “Moreover, Pfeffermann and Tiller (2005) show that the bootstrap estimator of the underlying unobserved components based on the IF is asymptotically consistent.”
• Mixed model prediction and small area estimation (2006, background): “See Butar (1997), Butar and Lahiri (2003), Pfeffermann and Tiller (2002), Lahiri (2003a) and Glickman and Pfeffermann (2004).”