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Shalabh, Shalabh and Heumann, Christian (2011): Simultaneous Prediction of Actual and Average Values of Study Variable Using Stein-rule Estimators. Department of Statistics: Technical Reports, No.104
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Abstract

The simultaneous prediction of average and actual values of study variable in a linear regression model is considered in this paper. Generally, either of the ordinary least squares estimator or Stein-rule estimators are employed for the construction of predictors for the simultaneous prediction. A linear combination of ordinary least squares and Stein-rule predictors are utilized in this paper to construct an improved predictors. Their efficiency properties are derived using the small disturbance asymptotic theory and dominance conditions for the superiority of predictors over each other are analyzed.