A Review of Linear Mixed Models and Small Area Estimation
T. Kubokawa (2010). A Review of Linear Mixed Models and Small Area Estimation. Journal of Statistical Research, Vol. 44, No. 1, pp. 31-55.
The linear mixed models (LMM) and the empirical best linear unbiased predictor (EBLUP) induced from LMM have been well studied and extensively used for a long time in many applications. Of these, EBLUP in small area estimation has been recognized as a useful tool in various practical statistics. In this paper, we give a review on LMM and EBLUP from a aspect of small area estimation. Especially, we explain why EBLUP is likely to be reliable. The reason is that EBLUP possesses the shrinkage function and the pooling effects as desirable properties, which arise from the setup of random effects and common parameters in LMM. Such important properties of EBLUP are clarified as well as some recent results of the mean squared error estimation, the confidence interval and the variable selection procedures are summarized.
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