Bernoulli

  • Bernoulli
  • Volume 12, Number 1 (2006), 157-168.

Multivariate prediction

José Manuel Corcuera and Federica Giummolè

Full-text: Open access

Abstract

The problem of prediction is considered in a multidimensional setting. Extending an idea presented by Barndorff-Nielsen and Cox, a predictive density for a multivariate random variable of interest is proposed. This density has the form of an estimative density plus a correction term. It gives simultaneous prediction regions with coverage error of smaller asymptotic order than the estimative density. A simulation study is also presented showing the magnitude of the improvement with respect to the estimative method.

Article information

Source
Bernoulli, Volume 12, Number 1 (2006), 157-168.

Dates
First available in Project Euclid: 28 February 2006

Permanent link to this document
https://projecteuclid.org/euclid.bj/1141136655

Mathematical Reviews number (MathSciNet)
MR2202327

Zentralblatt MATH identifier
1098.62083

Keywords
ancillary statistic coverage probability estimative density prediction regions predictive density

Citation

Manuel Corcuera, José; Giummolè, Federica. Multivariate prediction. Bernoulli 12 (2006), no. 1, 157--168. https://projecteuclid.org/euclid.bj/1141136655


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References

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