Simultaneous best linear invariant prediction of future order statistics for location-scale and scale families and associated optimality properties. Issue 6 (2nd November 2022)

• Record Type: Journal Article
• Authors: Balakrishnan, Narayanaswamy; Bhattacharya, Ritwik
• Is Part Of: Statistics. Volume 56:Issue 6(2022)
• Page Start: 1409
• Page End: 1426
• Publication Date: 2022-11-02
• Subjects: Best linear invariant predictor -- Best linear unbiased predictor -- Trace-efficient predictor -- Determinant-efficient predictor -- Complete mean squared predictive error matrix dominance; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2022.2144858
• Languages: English
• ISSNs: 0233-1888

Abstract

ABSTRACT: In this article, we first derive an explicit expression for the marginal best linear invariant predictor (BLIP) of an unobserved future order statistic based on a set of early observed ordered statistics. We then derive the joint BLIPs of two future order statistics and prove that the joint predictors are trace-efficient as well as determinant-efficient linear invariant predictors. More generally, the BLIPs are shown to possess complete mean squared predictive error matrix dominance property in the class of all linear invariant predictors of two future unobserved order statistics. Finally, these results are extended to the case of simultaneous BLIPs of any ℓ future order statistics. Both scale and location-scale families of distributions are considered as the parent distribution for the development of results.