Additional Topics in Prediction Methodology
A predictive distribution for the random variable Y 0 is meant to capture all the information about Y 0 that is contained in Y n = (Y 1, ..., Y n )⊤. Of course, knowing Y n does not completely specify Y 0 but Y n does provide a probability distribution of more likely and less likely values for Y 0 that is called the predictive distribution of Y 0 given Y n . This section derives predictive distributions useful for computer output based on two hierarchical models for [Y 0, Y n ]. Section 4.2 considers prediction in the case of multiple response models, as described in Section 2.3.
KeywordsTraining Data Prediction Interval Predictive Distribution White Noise Process Stationary Gaussian Process
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