Miscellanea. A note on modified estimative prediction limits and distributions

Abstract

In this paper a modification of the estimative prediction limit is derived, for which the coverage probability equals the target value to third-order accuracy, under ordinary repeated sampling. It provides an explicit approximate solution to the equation given by Barndorff-Nielsen & Cox (1996), which determines an upper α-prediction limit for an unobserved random variable. The corresponding predictive density is specified in a simple closed form and its main properties are emphasised.