Frequentist prediction intervals and predictive distributions
频率学派预测区间与预测分布
We consider parametric frameworks for the prediction of future values of a random variable Y, based on previously observed data X. Simple pivotal methods for obtaining calibrated prediction intervals are presented and illustrated. Frequentist predictive distributions are defined as confidence distributions, and their utility is demonstrated. A simple pivotal-based approach that produces prediction intervals and predictive distributions with well-calibrated frequentist…