Standard approximate 1 - &agr; prediction intervals (PIs) need to be adjusted to take account of the error in estimating the parameters. This adjustment may be aimed at setting the (unconditional) probability that the PI includes the value being predicted equal to 1 - &agr;. Alternatively, this...

A new simulation-based prediction limit that improves on any given estimative d-step-ahead prediction limit for a Markov process is described. This improved prediction limit can be found with almost no algebraic manipulations. Nonetheless, it has the same asymptotic coverage properties as the...