Empirical Bayes prediction intervals in a normal regression model: higher order asymptotics

We explore two proposals for finding empirical Bayes prediction intervals under a normal regression model. The coverage probabilities and expected lengths of such intervals are studied and compared via appropriate higher-order asymptotics.

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Year of publication:	2003
Authors:	Basu, Ruma ; Ghosh, J. K. ; Mukerjee, Rahul
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 63.2003, 2, p. 197-203
Publisher:	Elsevier
Keywords:	Coverage probability Equal tail Expected length

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138051