Cross-validation based point estimates of prediction accuracy are frequently reported in microarray class prediction problems. However these point estimates can be highly variable, particularly for small sample numbers, and it would be useful to provide confidence intervals of prediction...

This paper is concerned with the use of regression methods to predict values of a response variable when that variable is naturally ordered. An application to the prediction of student examination performance is provided and it is argued that, although individual scores are unlikely to be well...

A well-known problem in multiple regression is that it is possible to reject the hypothesis that all slope parameters are equal to zero, yet when applying the usual Student's T-test to the individual parameters, no significant differences are found. An alternative strategy is to estimate...

The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...

Let[Sigma]be an unknown covariance matrix. Perturbation (in)equalities are derived for various scale-invariant functionals of[Sigma]such as correlations (including partial, multiple and canonical correlations) or angles between eigenspaces. These results show that a particular confidence set...

When VAR models are used to predict future outcomes, the forecast error can be substantial. Through imposition of restrictions on the off-diagonal elements of the parameter matrix, however, the information in the process may be condensed to the marginal processes. In particular, if the...

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...