ABSTRACT
This chapter describes several scenarios where prediction is the problem of interest, discusses various predictors proposed in the literature, and aims to study their properties. It presents a survey of the area and hopefully cover all major contributions in our effort to do so. For a frequentist statistician, prediction means guessing the value of an unobserved random variable of interest, while estimation corresponds to guessing the value of an unknown, but fixed, parameter. In most of the prediction problems related to the exponential distribution, the random variable of interest is an order statistic or a function of order statistics from the same or a future sample. These variables, themselves, lead to system reliability and quality assurance variables and thus are important to reliability engineers and manufacturers. Prediction problems associated with the exponential distribution can be classified as either one-sample or multi-sample problems.
