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Biometrika Advance Access originally published online on May 13, 2007
Biometrika 2007 94(2):509-511; doi:10.1093/biomet/asm032
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Copyright © 2007 Biometrika Trust

Miscellanea

Adjusting estimative prediction limits

Masao Ueki and Kaoru Fueda

Graduate School of Environmental Science, Okayama University, Naka 3-1-1, Tsushima, Okayama, 700-8530, Japan

ueki{at}ems.okayama-u.ac.jp

fueda{at}ems.okayama-u.ac.jp

Received for publication 1 April 2006. Revision received 1 October 2006.
  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.

Key Words: Coverage probability • Parametric bootstrap • Prediction limit


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