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December 1996 Prediction and asymptotics
O.E. Barndorff-Nielsen, David R. Cox
Bernoulli 2(4): 319-340 (December 1996).

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.

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O.E. Barndorff-Nielsen. David R. Cox. "Prediction and asymptotics." Bernoulli 2 (4) 319 - 340, December 1996.

Information

Published: December 1996
First available in Project Euclid: 4 May 2007

zbMATH: 0870.62008
MathSciNet: MR1440272

Rights: Copyright © 1996 Bernoulli Society for Mathematical Statistics and Probability

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Vol.2 • No. 4 • December 1996
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