A note about calibrated prediction regions and distributions

作者：Fonseca Giovanni; Giummole Federica; Vidoni Paolo^*

来源：Journal of Statistical Planning and Inference, 2012, 142(9): 2726-2734.

DOI：10.1016/j.jspi.2012.03.010

• Coverage probability
• Estimative prediction limit
• Parametric bootstrap
• Predictive distribution
• Prediction region

In this work we address the problem of the construction of prediction regions and distribution functions, with particular regard to the multidimensional setting. Firstly, we define a simple procedure for calculating the predictive distribution function which gives improved prediction limits. Secondly, with a multivariate generalization of a result presented in Ueki and Fueda (2007), we propose a method for correcting estimative prediction regions, to reduce their coverage error to the third-order accuracy. The improved prediction regions and the associated distribution functions are easy to calculate using a suitable bootstrap procedure. Examples of application are included, showing the good performance of the proposed method, even if we consider an approximated model for prediction purposes.

• 出版日期2012-9