Statistica Sinica

Yaakov Malinovsky and Yosef Rinott

Abstract:Prediction of a vector of ordered parameters, or part of it, arises naturally in the context of Small Area Estimation (SAE). For example, one may want to estimate the parameters associated with the top ten areas, the best or worst area, or a certain percentile. We use a simple SAE model to show that estimation of ordered parameters by the corresponding ordered estimates of each area separately does not yield good results with respect to MSE. Shrinkage-type predictors, with an appropriate amount of shrinkage for the particular problem of ordered parameters, are considerably better, and their performance is close to that of the optimal predictors, which cannot in general be computed explicitly.

Key words and phrases:Empirical Bayes predictor, linear predictor, order statistics, shrinkage.