Artikel

Maximum product of spacings prediction of future record values

to related objects

A spacings-based prediction method for future upper record values is proposed as an alternative to maximum likelihood prediction. For an underlying family of distributions with continuous cumulative distribution functions, the general form of the predictor as a function of the estimator of the distributional parameters is established. A connection between this method and the maximum observed likelihood prediction procedure is shown. The maximum product of spacings predictor turns out to be useful to predict the next record value in contrast to likelihood-based procedures, which provide trivial predictors in this particular case. Moreover, examples are given for the exponential and the Pareto distributions, and a real data set is analyzed.

Language: Englisch

Bibliographic citation: Journal: Metrika ; ISSN: 1435-926X ; Volume: 83 ; Year: 2020 ; Issue: 7 ; Pages: 853-868 ; Berlin, Heidelberg: Springer

Classification: Mathematik
Business Economics: General

Subject: Point prediction
Cumulative hazard rate
Spacings
Maximum observed likelihood predictor
Upper record values
Exponential distribution
Pareto distribution

Event: Geistige Schöpfung

(who): Volovskiy, Grigoriy
Kamps, Udo

Event: Veröffentlichung

(who): Springer

(where): Berlin, Heidelberg

(when): 2020

DOI: doi:10.1007/s00184-020-00767-1

Last update: 10.03.2025, 11:42 AM CET

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Object type

Artikel

Associated

Volovskiy, Grigoriy
Kamps, Udo
Springer

Time of origin

2020

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