On Expected Lengths of Predictive Intervals

Rahul Mukerjee and Zehua Chen

Scandinavian Journal of Statistics, 2003, vol. 30, issue 4, 757-766

Abstract: 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.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:30:y:2003:i:4:p:757-766

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