Confidence and prediction intervals based on interpolated records

Jafar Ahmadi, Elham Basiri and Debasis Kundu

Journal of Nonparametric Statistics, 2017, vol. 29, issue 1, 1-21

Abstract: In several statistical problems, nonparametric confidence intervals for population quantiles can be constructed and their coverage probabilities can be computed exactly, but cannot in general be rendered equal to a pre-determined level. The same difficulty arises for coverage probabilities of nonparametric prediction intervals for future observations. One solution to this difficulty is to interpolate between intervals which have the closest coverage probability from above and below to the pre-determined level. In this paper, confidence intervals for population quantiles are constructed based on interpolated upper and lower records. Subsequently, prediction intervals are obtained for future upper records based on interpolated upper records. Additionally, we derive upper bounds for the coverage error of these confidence and prediction intervals. Finally, our results are applied to some real data sets. Also, a comparison via a simulation study is done with similar classical intervals obtained before.

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10485252.2016.1239826 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:gnstxx:v:29:y:2017:i:1:p:1-21

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20

DOI: 10.1080/10485252.2016.1239826

Access Statistics for this article

Journal of Nonparametric Statistics is currently edited by Jun Shao

More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().