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On prediction intervals based on predictive likelihood or bootstrap methods

Hall, Peter; Peng, L; Tajvidi, Nader

Description

We argue that prediction intervals based on predictive likelihood do not correct for curvature with respect to the parameter value when they implicitly approximate an unknown probability density. Partly as a result of this difficulty, the order of coverage error associated with predictive intervals and predictive limits is equal to only the inverse of sample size. In this respect those methods do not improve on the simpler, 'naive' or 'estimative' approach. Moreover, in cases of practical...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
URI: http://hdl.handle.net/1885/91487
Source: Biometrika

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