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https://scholarbank.nus.edu.sg/handle/10635/105254
| Title: | On Expected Lengths of Predictive Intervals | Authors: | Mukerjee, R. Chen, Z. |
Keywords: | Admissibility Confidence level Estimative density Higher order asymptotics Invariance Parametric model Predictive density |
Issue Date: | Dec-2003 | Citation: | Mukerjee, R., Chen, Z. (2003-12). On Expected Lengths of Predictive Intervals. Scandinavian Journal of Statistics 30 (4) : 757-766. ScholarBank@NUS Repository. | Abstract: | We consider the problem of comparing predictive intervals for a future observation via their expected lengths at a given confidence level. A higher order asymptotic theory is developed. This yields an explicit formula for expected length comparison and associated admissibility results. Illustrative examples are given. | Source Title: | Scandinavian Journal of Statistics | URI: | http://scholarbank.nus.edu.sg/handle/10635/105254 | ISSN: | 03036898 |
| Appears in Collections: | Staff Publications |
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