Abstract
We prove a general result showing that a simple linear interpolation between adjacent random variables reduces the coverage error of nonparametric prediction intervals for a future observation from the same underlying distribution function from O(n−1)O(n−1) to O(n−2)O(n−2). To illustrate the result we show that it can be applied to various scenarios of right censored data including Type-II censored samples, pooled Type-II censored data, and progressively Type-II censored order statistics. We further illustrate the result by simulations indicating that the desired level of significance is almost attained for moderate sample sizes.
Original language | English |
---|---|
Pages (from-to) | 95-109 |
Journal | Journal of Multivariate Analysis |
Volume | 129 |
DOIs | |
Publication status | Published - 1 Jan 2014 |