Maximum likelihood prediction |
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Authors: | Kenneth S Kaminsky Lennart S Rhodin |
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Institution: | 1. University of Ume?, Sweden
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Abstract: | The principle of maximum likelihood is applied to the joint prediction and estimation of a future random variable and an unknown
parameter. We assume dependence between present and future, and the approach is non-Bayesian. Our principal application is
to the prediction of higher order statistics from lower ones in Type II censored random samples. Some simple criteria for
existence and uniqueness of the predictor are given for this situation and the methods are illustrated with several examples. |
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Keywords: | Prediction maximum likelihood order statistics |
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