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H‐likelihood Predictive Intervals for Unobservables
Author(s) -
Lee Youngjo,
Kim Gwangsu
Publication year - 2016
Publication title -
international statistical review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.051
H-Index - 54
eISSN - 1751-5823
pISSN - 0306-7734
DOI - 10.1111/insr.12115
Subject(s) - mathematics , statistics , random effects model , estimator , consistency (knowledge bases) , coverage probability , random variable , confidence interval , econometrics , latent variable , prior probability , interval (graph theory) , bayesian probability , medicine , meta analysis , geometry , combinatorics
Summary Inferences about unobserved random variables, such as future observations, random effects and latent variables, are of interest. In this paper, to make probability statements about unobserved random variables without assuming priors on fixed parameters, we propose the use of the confidence distribution for fixed parameters. We focus on their interval estimators and related probability statements. In random‐effect models, intervals can be formed either for future (yet‐to‐be‐realised) random effects or for realised values of random effects. The consistency of intervals for these two cases requires different regularity conditions. Via numerical studies, their finite sampling properties are investigated.