Adjusting estimative prediction limits

This note presents a direct adjustment of the estimative prediction limit to reduce the coverage error from a target value to third-order accuracy. The adjustment is asymptotically equivalent to those of Barndorff-Nielsen & Cox (1994, 1996) and Vidoni (1998). It has a simpler form with a plug-in estimator of the coverage probability of the estimative limit at the target value. Copyright 2007, Oxford University Press.

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Year of publication:	2007
Authors:	Ueki, Masao ; Fueda, Kaoru
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 94.2007, 2, p. 509-511
Publisher:	Biometrika Trust

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005447068