Prediction interval for the one-way random effect ANOVA

I don't find a textbook presenting prediction intervals for mixed models. Moreover I'm only looking for a prediction interval for the balanced one-way random effect ANOVA model. Do you know a formula for this interval ?

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Why didn't you post your updates as an answer? Are you waiting for other replies? –  chl Oct 25 '12 at 21:58
@chl I don't know whether this is a good practice for stats.stackexchange.. ? –  Stéphane Laurent Oct 26 '12 at 5:01
Yes, it is. See, e.g., Etiquette for answering your own question, What is this “answer your own question” jazz?, or our Meta for a recent discussion. –  chl Oct 26 '12 at 7:52
@chl Ok - done. –  Stéphane Laurent Oct 26 '12 at 8:01

I have now find some answers in Lin & Liao's paper.

I have applying method 2 (the one using Satterwaithe degrees of freedom) for the one-way random effect ANOVA. Below is the R code. I have checked with some simulations that it works quite well.

ranovapred <- function(y, group, conf=0.95){
group <- factor(group)
means <- aggregate(y~group, FUN=mean)\$y  # groups means
I <- length(levels(group))
J <- length(y)/I
sizes <- table(group) # groups sizes
if(!all(as.numeric(sizes)==J)){ stop("balanced only!") }
ssw <- crossprod(y-rep(means, times=sizes))  # within sum of squares
ssb <- J*crossprod(means-mean(y)) # between sum of squares
a <- (1/J*(1+1/I))/(I-1)
b <- 1/I/J
v <- a*ssb+b*ssw # estimates the variance of (Ynew-Ybar)
nu <- v^2/((a*ssb)^2/(I-1)+(b*ssw)^2/I/(J-1)) # Satterthwaite degrees of freedom
alpha <- 1-conf
bounds <- mean(y) + c(-1,1)*sqrt(v)*qt(1-alpha/2,nu)
return(bounds)
}

# test using simulated data
I <- 7 # number of groups
J <- 10 # number of replicates per group
mu <- 0 # overall mean
sigmab <- 1 # between standard deviation
sigmaw <- 1 # within standard deviation
group <- LETTERS[gl(I,J)] # factor levels
x <- c(sapply(rnorm(I,mu,sigmab), function(mui) rnorm(J, mui, sigmaw))) # responses
ranovapred(y=x, group=group)


Enjoy.

EDIT: By the way I have compared with SAS prediction intervals... these ones are totally wrong. It's frightening that some SAS customers build engines for aircraft ;-)

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