Campus Units
Statistics
Document Type
Article
Publication Version
Accepted Manuscript
Publication Date
2017
Journal or Book Title
Journal of Statistical Computation and Simulation
Volume
87
Issue
8
First Page
1559
Last Page
1576
DOI
10.1080/00949655.2016.1277426
Abstract
Making predictions of future realized values of random variables based on currently available data is a frequent task in statistical applications. In some applications, the interest is to obtain a two-sided simultaneous prediction interval (SPI) to contain at least k out of m future observations with a certain confidence level based on n previous observations from the same distribution. A closely related problem is to obtain a one-sided upper (or lower) simultaneous prediction bound (SPB) to exceed (or be exceeded) by at least k out of m future observations. In this paper, we provide a general approach for computing SPIs and SPBs based on data from a particular member of the (log)-location-scale family of distributions with complete or right censored data. The proposed simulation-based procedure can provide exact coverage probability for complete and Type II censored data. For Type I censored data, our simulation results show that our procedure provides satisfactory results in small samples. We use three applications to illustrate the proposed simultaneous prediction intervals and bounds.
Copyright Owner
Taylor & Francis
Copyright Date
2017
Language
en
File Format
application/pdf
Recommended Citation
Xie, Yimeng; Hong, Yili; Escobar, Luis A.; and Meeker, William Q., "A general algorithm for computing simultaneous prediction intervals for the (log)-location-scale family of distributions" (2017). Statistics Publications. 280.
https://lib.dr.iastate.edu/stat_las_pubs/280
Comments
This is an Accepted Manuscript of an article published by Taylor & Francis as Xie, Yimeng, Yili Hong, Luis A. Escobar, and William Q. Meeker. "A general algorithm for computing simultaneous prediction intervals for the (log)-location-scale family of distributions." Journal of Statistical Computation and Simulation 87, no. 8 (2017): 1559-1576. DOI: 10.1080/00949655.2016.1277426. Posted with permission.