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.
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