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2006

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/23403

Multivariate prediction

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Abstract

The problem of prediction is considered in a multidimensional setting. Extending an idea presented by Barndorff-Nielsen and Cox, a predictive density for a multivariate random variable of interest is proposed. This density has the form of an estimative density plus a correction term. It gives simultaneous prediction regions with coverage error of smaller asymptotic order than the estimative density. A simulation study is also presented showing the magnitude of the improvement with respect to the estimative method.

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Teoria de la predicció, Estadística matemàtica

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Prediction theory, Mathematical statistics

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Articles publicats en revistes (Matemàtiques i Informàtica)

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CORCUERA VALVERDE, José Manuel and GIUMMOLÈ, Federica. Multivariate prediction. Bernoulli. 2006. Vol. 12, num. 1, pags. 157-168. ISSN 1350-7265. [consulted: 6 of June of 2026]. Available at: https://hdl.handle.net/2445/23403

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