Predicting a future lifetime through Box-Cox transformation

In predicting a future lifetime based on a sample of past lifetimes, the Box-Cox transformation method provides a simple and unified procedure that is shown in this article to meet or often outperform the corresponding frequentist solution in terms of coverage probability and average length of prediction intervals. Kullback-Leibler information and second-order asymptotic expansion are used to justify the Box-Cox procedure. Extensive Monte Carlo simulations are also performed to evaluate the small sample behavior of the procedure. Certain popular lifetime distributions, such as Weibull, inverse Gaussian and Birnbaum-Saunders are served as illustrative examples. One important advantage of the Box-Cox procedure lies in its easy extension to linear model predictions where the exact frequentist solutions are often not available.