Conditional Prediction Intervals for Linear Regression

Autor:	Dmitry Devetyarov, Ilia Nouretdinov, Peter McCullagh, Alexander Gammerman, Vladimir Vovk
Rok vydání:	2009
Předmět:	Calibration (statistics) Linear regression Statistics Coverage probability Mode (statistics) Prediction interval Regression analysis Confidence interval Mathematics Confidence and prediction bands
Zdroj:	ICMLA
DOI:	10.1109/icmla.2009.115
Popis:	We construct prediction intervals for the linear regression model with IID errors with a known distribution, not necessarily Gaussian. The coverage probability of our prediction intervals is equal to the nominal confidence level not only unconditionally but also conditionally given a natural sigma-algebra of invariant events. This implies, in particular, the perfect calibration of our prediction intervals in the on-line mode of prediction.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::03818d1f8a10366ee0cf364b3c9e462b https://doi.org/10.1109/icmla.2009.115 Zobrazit plný text záznamu