The empirical best linear unbiased predictor (EBLUP) in the linear mixed model (LMM) is useful for the small area estimation, and the estimation of the mean squared error (MSE) of EBLUP is important as a measure of uncertainty of EBLUP. To obtain a second-order unbiased estimator of the MSE, the...

The empirical Bayes (EB) estimator or empirical best linear unbiased predictor (EBLUP) in the linear mixed model (LMM) is useful for the small area estimation in the sense of increasing the precision of estimation of small area means. However, one potential difficulty of EB is that when...