A new simulation-based prediction limit that improves on any given estimative d-step-ahead prediction limit for a Markov process is described. This improved prediction limit can be found with almost no algebraic manipulations. Nonetheless, it has the same asymptotic coverage properties as the...

We consider the Barndorff-Nielsen and Cox (1994, p. 319) method of modifying an estimative prediction interval to obtain an improved prediction interval with better conditional coverage properties. The parameter estimator, on which this improved interval is based, is assumed to have the same...