Simple homogeneous predictors for Fréchet distributions

Simple homogeneous predictors for Fréchet distributions

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Article ID: iaor19901150
Country: Belgium
Volume: 29
Issue: 3
Start Page Number: 25
End Page Number: 34
Publication Date: Sep 1989
Journal: Belgian Journal of Operations Research, Statistics and Computer Science
Authors:
Keywords: Frechet
Abstract:

Assume that a large sample of size n is available from a population having a Fréchet distribution for maxima. From that sample we derive simple homogeneous predictors for the largest value of the next m observations obtained from the same population. The predictors are obtained by splitting the ordered sample in two blocks and using their averages. High asymptotic efficiency of each simple predictor with respect to the best homogeneous predictor is obtained and is independent of the number m of the next observations. Homogeneous prediction region and the best homogeneous predictor for a censored right sample are also derived.

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