Frequentist prediction intervals and predictive distributions

By Jerald F. Lawless, M. Fredette. 2005

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Confidence Distributions and a Unifying Framework for Meta-Analysis (2011, background): “There is renewed interest in CDs (e.g., Efron 1998; Schweder and Hjort 2002; Schweder 2003; Lawless and Fredette 2005; Parzen 2005; Singh, Xie, and Strawderman 2005, 2007; Xie et al. 2009; Tian et al. 2010; among others).”
Fiducial prediction intervals (2012, unknown): “Since logð1 UÞ F 1 n ðUÞ 1⁄4 W V 1⁄4 1 n F2;2n, where W exponentialð1Þ, V gammaðn,1Þ and are independent, and F2;2n is distributed as an F with degrees of freedom 2 and 2n (Lawless and Fredette, 2005), we have”
Does data splitting improve prediction? (2013, methodology): “There are more sophisticated ways to the construct frequentist predictive distributions, see for example Lawless and Fredette (2005), but we have consistently opted for the straightforward t-distribution scaled by the predicted mean and variance.”