English

Robust Empirical Bayes Small Area Estimation with Density Power Divergence

Methodology 2019-08-26 v3

Abstract

A two-stage normal hierarchical model called the Fay--Herriot model and the empirical Bayes estimator are widely used to provide indirect and model-based estimates of means in small areas. However, the performance of the empirical Bayes estimator might be poor when the assumed normal distribution is misspecified. In this article, we propose a simple modification by using density power divergence and suggest a new robust empirical Bayes small area estimator. The mean squared error and estimated mean squared error of the proposed estimator are derived based on the asymptotic properties of the robust estimator of the model parameters. We investigate the numerical performance of the proposed method through simulations and an application to survey data.

Keywords

Cite

@article{arxiv.1702.06635,
  title  = {Robust Empirical Bayes Small Area Estimation with Density Power Divergence},
  author = {Shonosuke Sugasawa},
  journal= {arXiv preprint arXiv:1702.06635},
  year   = {2019}
}

Comments

29 pages; to appear in Biometrika

R2 v1 2026-06-22T18:24:48.740Z