Mukerjee, Rahul ; Chen, Zehua (2003) On expected lengths of predictive intervals Scandinavian Journal of Statistics, 30 (4). pp. 757-766. ISSN 0303-6898
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Official URL: http://onlinelibrary.wiley.com/doi/10.1111/1467-94...
Related URL: http://dx.doi.org/10.1111/1467-9469.00362
Abstract
We consider the problem of comparing predictive intervals for a future observation via their expected lengths at a given confidence level. A higher order asymptotic theory is developed. This yields an explicit formula for expected length comparison and associated admissibility results. Illustrative examples are given.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Danish Society for Theoretical Statistics. |
| Keywords: | Admissibility; Confidence Level; Estimative Density; Higher Order Asymptotics; Invariance; Parametric Model; Predictive Density |
| ID Code: | 20343 |
| Deposited On: | 20 Nov 2010 14:38 |
| Last Modified: | 20 Nov 2010 14:38 |
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