Prediction intervals for regression models

摘要

This paper presents simple large sample prediction intervals for a future response Yf given a vector xf of predictors when the regression model has the form Yi=m(xi)+ei where m is a function of xi and the errors ei are iid. Intervals with correct asymptotic coverage and shortest asymptotic length can be made by applying the shorth estimator to the residuals. Since residuals underestimate the errors, finite sample correction factors are needed.