On Coverage Probability of the Prediction Interval for Normal Variable
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Abstract
This paper presents a coverage probability of a one-step-ahead prediction interval for a normal variable. This coverage probability is proved to be functionally independent of (µ,ơ2). Because of this functional independence, Monte Carlo simulation will include some variance reduction by setting (µ,ơ2) = (0,1). This result will then valid for all possible values of (µ,ơ2). This leads to a great reduction in computation effort.
Keywords: Coverage probability, prediction interval
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References
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