PITMAN CLOSENESS FOR HIERARCHICAL BAYES PREDICTORS IN MIXED LINEAR-MODELS

The present article considers the Pitman Closeness (PC) criterion of certain hierarchical Bayes (HB) predictors derived under a normal mixed linear models for known ratios of variance components using a uniform prior for the vector of fixed effects and some proper or improper prior on the error variance. For a generalized Euclidean error, simultaneous HB predictors of several linear combinations of vector of effects are shown to be the Pitman-closest in the frequentist sense in the class of equivariant predictors for location group of transformations. The normality assumption can be relaxed to show that these HB predictors are the Pitman-closest for location-scale group of transformations for a wider family of elliptically symmetric distributions. Also for this family, the HB predictors turn out to be Pitman-closest in the class of all linear unbiased predictors (LUPs). All these results are extended for the HB predictor of finite population mean vector in the context of finite population sampling.