Original Article
H-likelihood Predictive Intervals for Unobservables
Youngjo Lee,
Gwangsu Kim,
Youngjo Lee
Department of Statistics, Seoul National University, Seoul, Korea
Search for more papers by this authorGwangsu Kim
Department of Statistics, Korea University, Seoul, Korea
Search for more papers by this authorYoungjo Lee,
Gwangsu Kim,
Youngjo Lee
Department of Statistics, Seoul National University, Seoul, Korea
Search for more papers by this authorGwangsu Kim
Department of Statistics, Korea University, Seoul, Korea
Search for more papers by this authorSummary
Inferences about unobserved random variables, such as future observations, random effects and latent variables, are of interest. In this paper, to make probability statements about unobserved random variables without assuming priors on fixed parameters, we propose the use of the confidence distribution for fixed parameters. We focus on their interval estimators and related probability statements. In random-effect models, intervals can be formed either for future (yet-to-be-realised) random effects or for realised values of random effects. The consistency of intervals for these two cases requires different regularity conditions. Via numerical studies, their finite sampling properties are investigated.
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