97785e0500ad16c18574c64189ccf4b4-Supplemental.pdf

Bayesian predictive intervals are conditioned on the specific observed sequenceZ1:n and make statements on the next value[Yn+1 | Xn+1]. Subjective Bayesian statements on predictions are non-refutable, and are in this sense unscientific, but are optimal according to decision theoretic foundations. However,tomakesuch strong statements, the Bayesian must usually make the strict assumption of the model being well-specified. Asmentionedearlier,computingtheAOI interval is an efficient matrix-vector multiplication, whereas the LOO interval requires expensive broadcastingtoconstructthe ngrid T nISweightarray. We use the same Bayesian model as in (10), again consideringc=1,0.02.