A note on optimal joint prediction of order statistics
Volume 50 / 2023
Applicationes Mathematicae 50 (2023), 97-106
MSC: Primary 62G30; Secondary 62F10
DOI: 10.4064/am2506-2-2024
Published online: 27 February 2024
Abstract
The problem of prediction of several future order statistics, based on previous ones, is considered. An optimal predictor is defined as one minimizing the determinant of the covariance matrix of the predictor or of the predictive error vector. It is shown that the Lagrange multipliers method works well in all cases, despite some statements in the papers by Balakrishnan et al. [Metrika 85 (2022), 253–267; J. Multivariate Anal. 188 (2022), art. 104854; Statistics 57 (2023), 1239–1250].
