Advances and Applications in Statistics
Volume 37, Issue 2, Pages 187 - 193
(December 2013)
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NOTE ON ESTIMATING PARAMETERS IN HETEROGENEOUS RANDOM EFFECTS MODELS FOR TWO SAMPLE PROBLEM
Kengo Ueda and Hiroto Hyakutake
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Abstract: In heterogeneous random effects models, a weighted estimator of parameter in the model is recommended as a good estimator in mean square error. However, a confidence region based on the weighted estimator is conservative. Confidence regions in two sample problem aregivenbyanadjustedweighted estimator and others, approximately. The accuracy of approximation is examined by simulation. |
Keywords and phrases: confidence region, heteroscedastic error, random effects, weighted estimator. |
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