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Abstract We develop a method of classified mixed model prediction based on generalized linear mixed models that incorporate pseudo‐prior information to improve prediction accuracy. We establish consistency of the proposed method both in terms of prediction of the true mixed effect of interest and in terms of correctly identifying the potential class corresponding to the new observations if such a class matching one of the training data classes exists. Empirical results, including simulation studies and real‐data validation, fully support the theoretical findings. 

We propose a new classified mixed model prediction (CMMP) procedure, called pseudo-Bayesian CMMP,that uses network information in matching the group index between the training data and new data, whosecharacteristics of interest one wishes to predict. The current CMMP procedures do not incorporate suchinformation; as a result, the methods are not consistent in terms of matching the group index. Although, asthe number of training data groups increases, the current CMMP method can predict the mixed effects ofinterest consistently, its accuracy is not guaranteed when the number of groups is moderate, as is the case inmany potential applications. The proposed pseudo-Bayesian CMMP procedure assumes a flexible workingprobability model for the group index of the new observation to match the index of a training data group,which may be viewed as a pseudo prior. We show that, given any working model satisfying mild conditions,the pseudo-Bayesian CMMP procedure is consistent and asymptotically optimal both in terms of matchingthe group index and in terms of predicting the mixed effect of interest associated with the new observations.The theoretical results are fully supported by results of empirical studies, including Monte-Carlo simulationsand real-data validation.