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February 2006 Multivariate prediction
José Manuel Corcuera, Federica Giummolè
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Bernoulli 12(1): 157-168 (February 2006).

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.

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José Manuel Corcuera. Federica Giummolè. "Multivariate prediction." Bernoulli 12 (1) 157 - 168, February 2006.

Information

Published: February 2006
First available in Project Euclid: 28 February 2006

zbMATH: 1098.62083
MathSciNet: MR2202327

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability

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Vol.12 • No. 1 • February 2006
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