Title:
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Multivariate prediction
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Author:
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Corcuera Valverde, José Manuel; Giummolè, Federica
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Other authors:
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Universitat de Barcelona |
Abstract:
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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. |
Subject(s):
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-Teoria de la predicció -Estadística matemàtica -Prediction theory -Mathematical statistics |
Rights:
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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006
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Document type:
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Article Article - Published version |
Published by:
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Bernoulli Society for Mathematical Statistics and Probability
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