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Modfiied Conditional AIC in Linear Mixed Models
en
Asymptotically unbiased estimator
Akaike information criterion
conditional AIC
Kullback-Leibler information
linear mixed model
small area estimation
variable selection
Kawakubo Yuki
Kubokawa Tatsuya
In linear mixed models, the conditional Akaike Information Criterion (cAIC) is a procedure for variable selection in light of the prediction of specific clusters or random effects. This is useful in problems involving prediction of random effects such as small area estimation, and much attention has been received since suggested by Vaida and Blanchard (2005). A weak point of cAIC is that it is derived as an unbiased estimator of conditional Akaike information (cAI) in the overspecified case, namely in the case that candidate models include the true model. This results in larger biases in the underspecified case that the true model is not included in candidate models. In this paper, we derive the modified cAIC (McAIC) to cover both the underspecified and overspecified cases, and investigate properties of McAIC. It is numerically shown that McAIC has less biases and less prediction errors than cAIC.
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Discussion paper series. CIRJE-F
CIRJE-F-895
2013-07
AA11450569
application/pdf
日本経済国際共同センター
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf895ab.html