On Prediction Intervals for Future Observations from the Inverse Gaussian Distribution.
Interim technical rept.,
SOUTH CAROLINA UNIV COLUMBIA DEPT OF STATISTICS
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The problem of predicting, on the basis of an observed sample of size n from an inverse Gaussian distribution, a future observation from the same distribution is discussed. Two prediction intervals that have been proposed in the literature, one of which is an approximate prediction interval, are compared using Monte Carlo simulations. The results indicate that in many of the simulated cases the approximate prediction interval is superior with respect to larger estimated coverage probabilities and smaller estimated mean lengths. This is true in particular for n at least 15 and for 95 and 99.
- Statistics and Probability
- Manufacturing and Industrial Engineering and Control of Production Systems