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Biometrika 1998 85(4):949-953; doi:10.1093/biomet/85.4.949
© 1998 by Biometrika Trust
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MISCELLANEA

A note on modified estimative prediction limits and distributions

PAOLO VIDONI

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

In this paper a modification of the estimative prediction limit is derived, for which the coverage probability equals the target value to third-order accuracy, under ordinary repeated sampling. It provides an explicit approximate solution to the equation given by Barndorff-Nielsen & Cox (1996), which determines an upper {alpha}-prediction limit for an unobserved random variable. The corresponding predictive density is specified in a simple closed form and its main properties are emphasised.

Key Words: Coverage probability • Laplace method • Natural exponential family • p*-formula • Prediction interval • Predictive density


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M. Ueki and K. Fueda
Adjusting estimative prediction limits
Biometrika, June 1, 2007; 94(2): 509 - 511.
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