zbMATH — the first resource for mathematics

Improved predictions in linear regression models with stochastic linear constraints. (English) Zbl 0969.62046
Summary: We have considered two families of predictors for the simultaneous prediction of actual and average values of study variables in a linear regression model when a set of stochastic linear constraints binding the regression coefficients is available. These families arise from the method of mixed regression estimation. Performance properties of these families are analyzed when the objective is to predict values outside the sample and within the sample.

62J05 Linear regression; mixed models
62H12 Estimation in multivariate analysis
62M20 Inference from stochastic processes and prediction
Full Text: DOI