Choosing a coverage probability for prediction intervals

American Statistician

Volumn 62, Issue 2, 2008, Pages 120-124

  Landon, Joshua ^a   Singpurwalla, Nozer D ^a  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

Author keywords

Confidence intervals; Decision making; Filtering; Forecasting; Previsions; Time series; Utilities

Indexed keywords

EID: 55549129623     PISSN: 00031305     EISSN: None     Source Type: Journal    
DOI: 10.1198/000313008X304062     Document Type: Article

References (18)

1. Beran, R. (1990), "Calibrating Prediction Regions," Journal of the American Statistical Association, 85, 715-23.
2. Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control, San Francisco, CA: Holden-Day.
3. Chatfield, C. (1993), "Calculating Interval Forecasts," Journal of Business and Economic Statistics, 11, 121-135.
4. Decamps, J. P., Rochet, J. C., and Roger, B. (2004), "The Three Pillars of Basel II: Optimizing the Mix," Journal of Financial Intermediation, 13, 132-155.
5. de Finetti, B. (1972), Probability, Induction and Statistics, New York: Wiley.
6. De Groot, M. H. (1970), Optimal Statistical Decisions, New York: McGraw-Hill.
7. Gardner, Jr., E. S. (1988), "A Simple Method of Computing Prediction Intervals for Time Series Forecasts," Management Science, 34, 541-546.
8. Granger, C. W. J. (1996), "Can We Improve the Perceived Quality of Economic Forecasts?" Journal of Applied Econometrics, 11, 455-473.
9. Hadley, G., and Whitin, T. M. (1963), Analysis of Inventory Systems, Englewood Cliffs, NJ: Prentice-Hall.
10. Hahn, G. J., and Meeker, W. Q. (1991), Statistical Intervals: A Guide for Practitioners, New York: Wiley.
11. Lawless, J. F., and Fredette, M. (2005), "Frequentist Prediction Intervals and Predictive Distributions," Biometrika, 92, 529-542.
12. Lehmann, E. L. (1958), "Significance Level and Power," The Annals of Mathematical Statistics, 29, 1167-1176.
13. Lindley, D. V. (1985), Making Decisions (2nd ed.), New York: Wiley.
14. Pearson, K. (1920), "The Fundamental Problem of Practical Statistics," Biometrika, 13, 1-16.
15. Savage, L. J. (1962), "Bayesian Statistics," in Recent Developments in Information and Decision Processes, eds. R. E. Machol and P. Gray, New York: The Macmillan Company, pp. 161-194.
16. Singpurwalla, N. D. (2006), Reliability and Risk: A Bayesian Perspective, England: Wiley.
17. Tay, A. S., and Wallis, K. F. (2000), "Density Forecasting: A Survey," Journal of Forecasting, 19, 235-254.
18. Winkler, R. L. (1972), "A Decision-Theoretic Approach to Interval Estimation," Journal of the American Statistical Association, 67, 187-191.