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Predicting future responses based on possibly mis-specified working models

Author

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  • Tianxi Cai
  • Lu Tian
  • Scott D. Solomon
  • L.J. Wei

Abstract

Under a general regression setting, we propose an optimal unconditional prediction procedure for future responses. The resulting prediction intervals or regions have a desirable average coverage level over a set of covariate vectors of interest. When the working model is not correctly specified, the traditional conditional prediction method is generally invalid. On the other hand, one can empirically calibrate the above unconditional procedure and also obtain its crossvalidated counterpart. Various large and small sample properties of these unconditional methods are examined analytically and numerically. We find that the 𝒦-fold crossvalidated procedure performs exceptionally well even for cases with rather small sample sizes. The new proposals are illustrated with two real examples, one with a continuous response and the other with a binary outcome. Copyright 2008, Oxford University Press.

Suggested Citation

  • Tianxi Cai & Lu Tian & Scott D. Solomon & L.J. Wei, 2008. "Predicting future responses based on possibly mis-specified working models," Biometrika, Biometrika Trust, vol. 95(1), pages 75-92.
    • Handle: RePEc:oup:biomet:v:95:y:2008:i:1:p:75-92
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    File URL: http://hdl.handle.net/10.1093/biomet/asm078
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    Cited by:

    1. Lasanthi C. R. Pelawa Watagoda & David J. Olive, 2021. "Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals," Statistical Papers, Springer, vol. 62(5), pages 2407-2431, October.
    2. Cheng Zheng & Yingye Zheng, 2019. "Calibrating Variations in Biomarker Measures for Improving Prediction with Time-to-event Outcomes," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 11(3), pages 477-503, December.
    3. Zaichao Du & Juan Carlos Escanciano, 2015. "A Nonparametric Distribution-Free Test for Serial Independence of Errors," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1011-1034, December.
    4. David J. Olive, 2018. "Applications of hyperellipsoidal prediction regions," Statistical Papers, Springer, vol. 59(3), pages 913-931, September.

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