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Adjusting estimative prediction limits

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  • Masao Ueki
  • Kaoru Fueda

Abstract

This note presents a direct adjustment of the estimative prediction limit to reduce the coverage error from a target value to third-order accuracy. The adjustment is asymptotically equivalent to those of Barndorff-Nielsen & Cox (1994, 1996) and Vidoni (1998). It has a simpler form with a plug-in estimator of the coverage probability of the estimative limit at the target value. Copyright 2007, Oxford University Press.

Suggested Citation

  • Masao Ueki & Kaoru Fueda, 2007. "Adjusting estimative prediction limits," Biometrika, Biometrika Trust, vol. 94(2), pages 509-511.
    • Handle: RePEc:oup:biomet:v:94:y:2007:i:2:p:509-511
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    File URL: http://hdl.handle.net/10.1093/biomet/asm032
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    Cited by:

    1. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    2. Paolo Vidoni, 2018. "A note on predictive densities based on composite likelihood methods," METRON, Springer;Sapienza Università di Roma, vol. 76(1), pages 31-48, April.
    3. De Oliveira, Victor & Kone, Bazoumana, 2015. "Prediction intervals for integrals of Gaussian random fields," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 37-51.
    4. D. Concordet & R. Servien, 2014. "Individual prediction regions for multivariate longitudinal data with small samples," Biometrics, The International Biometric Society, vol. 70(3), pages 629-638, September.
    5. Vidoni, Paolo, 2015. "Calibrated multivariate distributions for improved conditional prediction," Journal of Multivariate Analysis, Elsevier, vol. 142(C), pages 16-25.
    6. Paolo Vidoni, 2017. "Improved multivariate prediction regions for Markov process models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(1), pages 1-18, March.

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