Prediction intervals for future records

Suppose upper records were observed from a X-sequence of iid continuous random variables, and that another independent Y-sequence of iid variables from the same distribution is to be observed. In this paper, we then derive various exact distribution-free prediction intervals for records from the Y-sequence based on the record values from the X-sequence. Specifically, distribution-free prediction intervals for individual records as well as outer and inner prediction intervals are derived based on X-records, and exact expressions for the coverage probabilities of these intervals are also derived. A data representing the records of temperatures is used to illustrate all the results developed here. (C) 2008 Elsevier B.V. All rights reserved.