On Coverage Probability of the Prediction Interval for Normal Variable

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Sa-aat Niwitpong*

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


Corresponding author: E-mail: snw@kmitnb.ac.th

Article Details

Section
Original Research Articles

References

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