Comparison of likelihood-based predictors of future Pareto and Lomax record values in terms of Pitman closeness

Grigoriy Volovskiy and Udo Kamps

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 6, 1905-1922

Abstract: Point prediction of future record values from a sequence of independent and identically distributed Pareto and Lomax random variables is addressed. The focus is on likelihood-based prediction techniques; in particular, the maximum likelihood as well as the maximum observed likelihood prediction principles are invoked to derive predictors. Pitman closeness criterion is used for comparing the prediction procedures, which are applied to real data. Moreover, one-sided prediction intervals are also addressed.

Date: 2023
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DOI: 10.1080/03610926.2021.1941112

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