On Expected Lengths of Predictive Intervals

We consider the problem of comparing predictive intervals for a future observation via their expected lengths at a given confidence level. A higher order asymptotic theory is developed. This yields an explicit formula for expected length comparison and associated admissibility results. Illustrative examples are given. Copyright 2003 Board of the Foundation of the Scandinavian Journal of Statistics..

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Year of publication:	2003
Authors:	Mukerjee, Rahul ; Chen, Zehua
Published in:	Scandinavian Journal of Statistics. - Danish Society for Theoretical Statistics, ISSN 0303-6898. - Vol. 30.2003, 4, p. 757-766
Publisher:	Danish Society for Theoretical Statistics Finnish Statistical Society Norwegian Statistical Association Swedish Statistical Association

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

Persistent link: https://www.econbiz.de/10005683565