Invariant prediction regions with smallest expected measure

DOI10.1016/0047-259X(86)90063-1MaRDI QIDQ1069233zbMATH OpenFDO

Authors Peter M. Hooper

Publication date 1986

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(86)90063-1

zbMATH Keywords

Hunt-Stein conditionminimaxmultivariate regression modeloptimal invariant prediction regionorder statisticsprediction regionsmallest expected measuretolerance region

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Parametric tolerance and confidence regions (62F25) Nonparametric tolerance and confidence regions (62G15)

Review text

A method is given for constructing a prediction region having smallest expected measure within the class of invariant level \(\beta\) prediction regions. The main assumptions are that the invariance group acts transitively on the parameter space and that the measure satisfies a certain invariance property. When the invariance group satisfies the Hunt-Stein condition, the optimal invariant prediction region minimizes the maximum expected measure among all level \(\beta\) prediction regions. Prediction regions are constructed for: a random variable with density of arbitrary given shape but unknown location and scale; several random vectors in a multivariate regression model; and order statistics of a sample from an unspecified continuous distribution.

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Cites work

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