| On Expected Lengths of Predictive Intervals | |||||||
Abstract | |||||||
| We consider the problem of comparing predictive intervals for a future observation via their expected lengths at a given confidence level. A higher order asymptotic theory is developed. This yields an explicit formula for expected length comparison and associated admissibility results. Illustrative examples are given. Copyright 2003 Board of the Foundation of the Scandinavian Journal of Statistics.. | |||||||
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