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Biometrika 2001 88(3):881-887; doi:10.1093/biomet/88.3.881
© 2001 by Biometrika Trust
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Miscellaneous

Improved prediction limits for continuous and discrete observations in generalised linear models

Paolo Vidoni1

1 Department of Statistics, University of Udine, via Treppo 18, I-33100 Udine, Italyvidoni{at}dss.uniud.it

Recent papers by Barndorff-Nielsen & Cox (1996) and Vidoni (1998) concern the determination of prediction limits for an unobserved continuous random variable, for which the coverage probability equals the target value to third-order accuracy. These results are usually expressed by means of the predictive density which generates the required prediction limit as the corresponding quantile.This paper discusses first the case where the variable to be predicted is discrete. This case requires special consideration, since a direct application of the above mentioned results is not possible. Secondly, these prediction limits, and the corresponding predictive distributions, are computed for both discrete and continuous generalised linear models.

Key Words: Asymptotic expansion; Coverage probability; Discrete predictand; Prediction interval; Predictive density

Received May 1999. Revised February 2001


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