Conditional moment prediction method. (English) Zbl 0618.62043
Several prediction methods have been suggested in the literature. There are many examples which cannot be solved by the existing methods. This paper provides a new method which covers some of these examples. Specially, it covers cases where the likelihood is a mixture of likelihoods. This method is applied to construct a prediction interval for the multiple correlation coefficient from a future sample. A simulation study is made to validate this new method.
MSC:
62F25 | Parametric tolerance and confidence regions |