Abstract
Admissibility of prediction intervals is considered in a specified family. It is shown that the best invariant prediction interval is strongly admissible in a location family and in a scale family. Though the similar result has not been obtained for a location and scale family, the best invariant prediction interval for a normal distribution is shown to be weakly admissible.
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Takada, Y. Admissibility of prediction intervals. Ann Inst Stat Math 47, 119–128 (1995). https://doi.org/10.1007/BF00773416
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DOI: https://doi.org/10.1007/BF00773416