Empirical Bayes prediction intervals in a normal regression model: higher order asymptotics

Ruma Basu, J. K. Ghosh and Rahul Mukerjee

Statistics & Probability Letters, 2003, vol. 63, issue 2, 197-203

Abstract: We explore two proposals for finding empirical Bayes prediction intervals under a normal regression model. The coverage probabilities and expected lengths of such intervals are studied and compared via appropriate higher-order asymptotics.

Keywords: Coverage; probability; Equal; tail; Expected; length (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (9)

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