We have studied the temperature dependence of the F2g Raman mode phonon frequency and broadening in CeO2-y nanocrystals. The phonon softening and phonon linewidth are calculated using a model which takes into account the three-and four-phonon anharmonic processes. A detailed comparison of the experimental data with theoretical calculations revealed the predominance of four-phonon anharmonic processes in the temperature dependence of the phonon energy and broadening of the nanocrystals. On the other hand, three-phonon processes dominate the temperature behavior of phonons in polycrystalline samples. The anti-Stokes/Stokes peak intensity ratio was also investigated and found to be smaller for nanosized CeO2 powders than in the bulk counterpart.