Simultaneous prediction in the generalized linear model

Abstract

This paper studies the prediction based on a composite target function that allows to simultaneously predict the actual and the mean values of the unobserved regressand in the generalized linear model. The best linear unbiased prediction (BLUP) of the target function is derived. Studies show that our BLUP has better properties than some other predictions. Simulations confirm its better finite sample performance.

Keywords

• generalized linear model
• simultaneous prediction
• best linear unbiased prediction
• 62m20
• 62j12