On-line predictive linear regression
在线预测线性回归
We consider the on-line predictive version of the standard problem of linear regression; the goal is to predict each consecutive response given the corresponding explanatory variables and all the previous observations. The standard treatment of prediction in linear regression analysis has two drawbacks: (1) the classical prediction intervals guarantee that the probability of error is equal to the nominal significance level ɛ, but this property per se does not imply that the…