Approximate predictive likelihood

Abstract

A predictive likelihood is given which approximates both Bayes and maximum likelihood predictive inference by expansion of a posterior likelihood. This synthesizes and extends previous results and is widely applicable. The approximation usually differs from exact Bayes posterior predictive density by O p ( n –2 ), and from exact predictive likelihood by O p ( n –2 ) but does not depend on the availability of prior information and is applicable when exact predictive likelihood cannot be found. The results are applied to the prediction of extremes using the generalized extreme-value distribution.