2021

Bayes-optimal prediction with frequentist coverage control

Hoff, Peter

Understand

This article illustrates how indirect or prior information can be optimally used to construct a prediction region that maintains a target frequentist coverage rate.

If the indirect information is accurate, the volume of the prediction region is lower on average than that of other regions with the same coverage rate.
Even if the indirect information is inaccurate, the resulting region still maintains the target coverage rate.
Such a prediction region can be constructed for models that have a complete sufficient statistic, which includes many widely-used parametric and nonparametric models.

Built on

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Similar

A note on Faulkenberry’s method of obtaining prediction intervals
Dunsmore, I. R. (1976) · 1976
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Prediction intervals—a review
Patel, J. K. (1989) · 1989
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Karr, A. F. (1991) · 1991
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The Bayes/non-Bayes compromise: a brief review
Good, I. J. (1992) · 1992
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Real and functional analysis
Lang, S. (1993) · 1993
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Complete order statistics in parametric models
Mattner, L. (1996) · 1996
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Conditioning as disintegration
Chang, J. T. and D. Pollard (1997) · 1997
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Then

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Variational analysis
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A tutorial on conformal prediction
Shafer, G. and V. Vovk (2008) · 2008
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Adaptive multigroup confidence intervals with constant coverage
Yu, C. and P. D. Hoff (2018) · 2018
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Exact adaptive confidence intervals for small areas
Burris, K. and P. Hoff (2019) · 2019
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Exact adaptive confidence intervals for linear regression coefficients
Hoff, P. and C. Yu (2019) · 2019
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