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Title: On Expected Lengths of Predictive Intervals
Authors: Mukerjee, R.
Chen, Z. 
Keywords: Admissibility
Confidence level
Estimative density
Higher order asymptotics
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
ISSN: 03036898
Appears in Collections:Staff Publications

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