A new approach to constructing simultaneous prediction limits on future outcomes under parametric uncertainty of underlying models
University of Latvia, Riga, Latvia
Transport and Telecommunication Institute, Riga, Latvia
ABSTRACT: In this paper, we consider the problems of constructing simultaneous prediction limits on future outcomes of all of l future samples using the results of a previous sample from the same underlying distribution belonging to invariant family. The prediction limits obtained in the paper are generalizations of the usual prediction limits on observations or functions of observations of only one future sample. Attention is restricted to invariant families of distributions under parametric uncertainty. ...
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