کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
418270 | 681626 | 2007 | 8 صفحه PDF | دانلود رایگان |
This paper presents simple large sample prediction intervals for a future response YfYf given a vector xfxf of predictors when the regression model has the form Yi=m(xi)+eiYi=m(xi)+ei where mm is a function of xixi and the errors eiei are iid. Intervals with correct asymptotic coverage and shortest asymptotic length can be made by applying the shorth estimator to the residuals. Since residuals underestimate the errors, finite sample correction factors are needed.As an application, three prediction intervals are given for the least squares multiple linear regression model. The asymptotic coverage and length of these intervals and the classical estimator are derived. The new intervals are useful since the distribution of the errors does not need to be known, and simulations suggest that the large sample theory often provides good approximations for moderate sample sizes.
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 6, 1 March 2007, Pages 3115–3122