Bayes Prediction Under Random Censorship ∗

Abstract: This paper is concerned with a Bayes prediction problem in the exponential distribution under random censorship. Using censored samples, we work out a predic-tion interval for a sum of interest which consists of some future samples. Differing from the general Bayes approach, we assume that the prior distribution of the parameter of the exponential distribution is of an unknown form, and only one moment condition of the prior distribution is given. Simulation studies are conducted to exhibit the coverage probabilities of the prediction interval