Abstract
With a view to predicting a scalar-valued future observation on the basis of past observations, we explore predictive sets having frequentist as well as Bayesian validity for arbitrary priors in a higher-order asymptotic sense. It is found that a connection with locally unbiased tests is useful for this purpose. Illustrative examples are given. Computation and simulation studies lend support to our asymptotic results in finite samples. The issue of expected lengths of our predictive sets is also discussed.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
