Likelihood Prediction for Generalized Linear Mixed Models under Covariate Uncertainty

• 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.

Ämnesord

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Coverage interval

Credit risk prediction

Future value prediction

Predictive likelihood

Profile predictive likelihood

Stochastic covariate

Primary 62M20

Secondary 60G25

62J12

62J99

Mathematics

Matematik

Kreditriskmodellering

General Microdata Analysis - methods

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)