
Chapter 9
Prediction of Future Observations
Portions of the material in this chapter are from R. Martin and R. Lingham, “Prior-
free probabilistic prediction of future observations,” Technometrics, to appear, 2015,
reprinted with permission by the American Statistical Association, www.amstat.
org.
9.1 Introduction
The prediction of future observations based on the information available in a given
sample is a fundamental problem in statistics. For example, in engineering applica-
tions, such as computer networking, one might want to predict, to some degree of
certainty, the time at which the current system might fail, in order to have resources
available ...