Prediction and asymptotics
Prediction and asymptotics
复制标题
预测和渐进
作者：
O. Barndorff;D. Cox
从频率论的观点考虑了未观测到的随机变量的预测。经过简要回顾以前的工作，一些例子中，一个精确的解决方案是可能的，部分是为了他们的内在利益，部分是为了说明一般的结果。在普通重复抽样下，导出了一种新的预报密度形式，其精度达到渐近理论的三阶。该公式在可观测和不可观测的随机变量变换下以及在重新参数化下是不变的。它尊重条件性原则，可以基于最小预测有效统计量。一些开放的问题被注意到。
Prediction of an unobserved random variable is considered from a frequentist viewpoint. After a brief review of previous work, a number of examples in which an exact solution is possible are given, partly for their intrinsic interest and partly to illustrate general results. A new form of predictive density is derived accurate to the third order of asymptotic theory under ordinary repeated sampling. The formula is invariant under transformation of the observed and unobserved random variables and under reparametrization. It respects the conditionality principle and may be based on the minimal prediction sucient statistic. Some open problems are noted.