Bernoulli

  • Bernoulli
  • Volume 2, Number 4 (1996), 319-340.

Prediction and asymptotics

O.E. Barndorff-Nielsen and David R. Cox

Full-text: Open access

Abstract

Prediction of an unobserved random variable is considered from a frequentist viewpoint. After a brief review of previous work, a number of examples in which an exact solution is possible are given, partly for their intrinsic interest and partly to illustrate general results. A new form of predictive density is derived accurate to the third order of asymptotic theory under ordinary repeated sampling. The formula is invariant under transformation of the observed and unobserved random variables and under reparametrization. It respects the conditionality principle and may be based on the minimal prediction sufficient statistic. Some open problems are noted.

Article information

Source
Bernoulli, Volume 2, Number 4 (1996), 319-340.

Dates
First available in Project Euclid: 4 May 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1178291834

Mathematical Reviews number (MathSciNet)
MR1440272

Zentralblatt MATH identifier
0870.62008

Keywords
autoregression invariant expansion conditioning prediction sufficiency predictive density predictive limits

Citation

Barndorff-Nielsen, O.E.; Cox, David R. Prediction and asymptotics. Bernoulli 2 (1996), no. 4, 319--340. https://projecteuclid.org/euclid.bj/1178291834


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