Information geometry and its applications

Pescara - 1-5 July 2002


Abstract

July 2 - 11.40-12.30
J.M. Corcuera - F. Giummole' - Simultaneous prediction

In the present work the problem of prediction is considered in a multidimensional setting. Extending an idea presented in Barndorff-Nielsen and Cox (1996), a predictive density for the future multivariate random variable is proposed. This density has the form of an estimative density plus a correction term which is easily calculated. It gives simultaneous prediction regions with coverage error of smaller asymptotic order than the estimative density. Several examples with a simulation study are presented, showing how the proposed solution improves on the estimative one. [an error occurred while processing this directive]