Prediction is concerned with assessing the probability of unknown values from known values and inferred relationships.

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How to calculate PRESS and $R^2_{predicted}$ in Stata automatically [migrated]

So I have two models and I want to calculate these statistics. Is there any package to calculate them in Stata? PRESS statistic (wiki) And, if I am not mistaken. $$ R^2_{predicted} = 1 - ...
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1answer
44 views

Are prediction and distribution-fitting ever not the same thing?

Intuitively, it seems to me that, if one is able to make accurate predictions about a variable, then one has also (perhaps implicitly) produced a good estimate of its marginal or conditional ...
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2answers
65 views

What criteria tell us that the prediction of a model is reliable

What criteria can be used to tell whether the prediction of a model will be more reliable than other specifications. Background: We have data with $N$ computers. However, prices available only ...
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2answers
37 views

Are cross-validated prediction errors i.i.d?

Say, we test an arbitrary regression or classification procedure on $n$ independent samples with leave-one-out cross-validation. This results in an estimate of the prediction error $e_n$ for each ...
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1answer
21 views

Prediction in VAR models

I am currently developing a Vector Autoregressive Model, and I have the model fully specified as follows: $$X_t=AX_{t-1} +Z_t$$ where $X$ and $Z$ are $n \times 1$ column vectors, and $A$ is an ...
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14 views

Function predict in glm applied to new data [migrated]

This question could have been discussed before, but I failed to find it. The question is: let's suggest, I'm fitting a logistic regression and I would like to train it on training set and then apply ...
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2answers
37 views

predictive modeling: comparing actual and predicted values in terms of accuracy

I have applied a predictive model on a hold out data set on which I know actual values of the target variable. I wonder how to compare actual and predicted forecasted values, verifying whether on ...
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0answers
10 views

would adding the probabilities in a dataset be more accurate than the individual results?

Say I have the titanic kaggle competition, but I'm not interested in the competition for predicting survival for each individual. Instead I want the most accurate estimate of total survivors on the ...
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1answer
26 views

Can you add the probabilities of a classifier to better predict an outcome?

Say I am interested in predicting the TOTAL number of people that survive the titanic disaster, NOT each individual who died. Is it possible to run a probabilistic classifier on the data getting a ...
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1answer
45 views

Mortgage loan predictive analysis

I have hundreds of thousands of mortgage loan historic records that look like these 2 examples: ...
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47 views

How to overcome prediction results that are overestimated

I'm trying to create a prediction model for estimation of continuous variable based on about 35 Independent variables.My data set has circa 27k observartions. Here is the summary of the the targeted ...
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20 views

Calculate prediction interval for SAR model (errorsarlm function in R)

I would like to predict prediction interval for a SAR model (function errorsarlm in R - package spdep). While the function predict.lm allows to set interval='prediction' parameter to predict the upper ...
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27 views

How can I predict based on several time series of many different projects?

I want to predict the time that a client takes to pay for a service that has already been received. We are talking about a construction company, so the payments are always overdue since the company ...
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0answers
17 views

What is the definition of generalization error and its justification?

I was trying to understand rigorously what the goal of machine learning is. One could frame that one of the central goals of machine learning is to obtain the best possible function ever. But what ...
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4answers
885 views

What does AUC stand for and what is it?

Searched high and low and have not been able to find out what AUC, as in related to prediction, stands for or means.
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1answer
36 views

Predicting university course marks using historic data of class mean and student's own marks

I would like to predict my course marks for this year based on the data for class mean and my own marks for the past years. What would be a good starting point for a model for such kind of data? ...
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32 views

posterior predictive of standard Normal

I want to derive the predictive posterior distribution of $y$ for the case where $$p(\tilde{y}|\theta) \sim N(\theta,1)$$ and $$p(\theta|y) \sim N(\bar{y},\frac{1}{n}) \sim N(6,\frac{1}{9})$$. By ...
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1answer
31 views

Predicting with random effects in mgcv gam

I am interested in modeling total fish catch using gam in mgcv to model simple random effects for individual vessels (that make repeated trips over time in the fishery). I have 98 subjects, so I ...
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1answer
43 views

Statistically significant difference in linear regression model predictions of the mean values

In my academic report I have a task to check whether or not mean values (for given two predictor values) predicted by the simple linear regression model are "statictically significantly different". I ...
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0answers
23 views

Explanation that the prior predictive (marginal) distribution follows from prior and sampling distributions

While I have a vague intuition that this makes sense, I am interested in the formal demonstration that the prior predictive distribution in Bayesian inference is equal to the integral over $\theta$ of ...
2
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1answer
40 views

Can Hidden Markov Models be used to predict next observation?

I am reading up on Hidden Markov Models (HMMs) for my research and would like to know if it is applicable to the problem I wish to tackle. My problem is to detect/estimate the next value of a ...
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1answer
16 views

MSEP and R2pred for Linear Model

I have two set of data 1-Training (Calibrating) 2-Test. With these datasets, I Fit the model using first dataset. predict using the second dataset x-variables I have to test the closeness of the ...
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0answers
11 views

How to shorten the detection time of adaboost algorithm?

I'm working on a license plate detection using OpenCV's adaboost algorithm. However, after training, it shows that the detection takes 3200ms for a single image, where the image size I used is ...
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1answer
60 views

Mean of predictive distribution

I observe independent, Poisson-distributed data $ D = \{x_1, ... x_n \} $ with mean parameter $ \mu $, i.e., $$x_i\stackrel{\text{iid}}{\sim}\mathcal{P}(\mu)$$ Over $ \mu $ I assume $ Gamma(\alpha_0, ...
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1answer
33 views

I am wondering what model to use [closed]

I am trying to do an analysis of popularity growth, in particular of the rate of growth in play count for artists on an online music streaming service. I want to create a postgresql db filled with ...
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2answers
98 views

How to make prediction in survival analysis using R?

I have fitted a survival model in R which is below. However, I am not sure how to make predictions. I tried predicting the survival probability that a patient whose design matrix is ...
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8 views

What is the test error, if response in test set is missing?

I am given two data set: one used for train model, and one for prediction. However, there is no response variable in the second data. I was asked to test the model built from the first data on second ...
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17 views

Selecting probability cutoff when making predictions with glmnet

I am facing a binary classification problem, and am evaluating the predictive performance of a logistic regression model. In my application, I gain nothing from true negatives, lose nothing from ...
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43 views

SVM predictions of timeseries (forex) data are shifted

I am trying to build timeseries prediction SVM (regression variety) for forex data based on lagged close data. And I am using R. Please see the simple code below and resulting graph, using e1071 ...
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48 views

Predicting an ordered sequence of future events

Please advise on methods and models for prediction of future events sequenced in time based on some previous event history. I need to solve the following problem: Input data: a huge (750 GB) set of ...
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0answers
16 views

Edge prediction from Live Journal data in SNAP

I have downloaded data for the Live Journal graph from SNAP . The dataset looks like this From_Node_Id ->To_Node_Id ...
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1answer
29 views

Outer crossvalidation cycle in caret package (R)?

Could somebody provide a nice example code how to best implement an outer crossvalidation cycle using the caret package in R? The package provides a convenient trainControl() argument to ajust the ...
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16 views

Neural Networks. General approach to predict nearest future value (recognise incomplete pattern)

I need a general idea (and learn a bit of terminology as well) on how to approach the following problem: I have data coming in real-time but in uniform intervals (1s). each portion can have 1 or ...
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43 views

Simple Linear Regression - Prediction Interval and Non-constant variance

I have two questions about a simple linear regression model. I want to use test1 scores to predict test2 scores. I am using R software. x=test1, y=test2, Let's say that both tests are scored from 1 ...
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53 views

Neural Network Predicting Live Market Data (fun project for BTC prediction)

Made it just for fun - not for profit, wrote a neural network application that is predicting output from live data from exchange markets dealing with Bitcoin. Now just to clarify, i am not asking if ...
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16 views

Autoregressive model - predictive power

I have estimated a VAR (vector autoregressive) model on credit growth in STATA. I want to test its predictive power by comparing its estimated credit growth to observed credit growth (correlation ...
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13 views

Help in determining prediction accuracies over the life of a customer

I have been tasked with determining the accuracy of some data, however my statistical knowledge is weak and I am hoping to be pointed in the proper direction. For a customer, we have a series of ...
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1answer
36 views

An algorithm to predict one of two values based on a linear model

I would like to run by you an algorithm for predicting one of two values from a testing data set, based on a linear model applied to a training set. Please let me know whether this algorithm makes ...
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1answer
93 views

Ratio between positive and negative examples in a training problem

When training a 0/1 classifier, what should be the ratio of positive to negative, how to decide the ratio between them based on the classifier I use and the data set under analysis?
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1answer
46 views

Confidence interval for difference between predicted vs actual rates

I would like to generate a confidence interval for predicted vs actual rates. I am auditing my group of anaesthetists (aka anesthesiologists) to see how we compare on a number of potentially ...
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20 views

Odds of a team winning a sports match given full history

Assumptions: The teams never change The teams don't improve in skill The entire history of each team's performance against some subset of other teams is known For example: I have a long list of ...
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42 views

Prediction interval in nnetar forecast

I'm trying to use the forecast package version 5.6 for doing forecasts with "nnetar" function, so I noticed that there's no prediction intervals for forecasting points by this function, eg.: 95% LS ...
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65 views

Multivariate outlier detection for PLS model

I am working with a PLS model (library pls) in R, where I am developing calibration models for NIRS data. I have been using other commercial software before that allowed me to detect outliers based on ...
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1answer
25 views

Why are frequently occurring events difficult to predict?

I can understand this on an intuitive basis, but I'm otherwise not clear on how to think about this more formally. (Alternately, am I wrong that frequently occurring events are difficult to predict?) ...
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1answer
30 views

Can I use this equation for prediction?

I've got a question. Below you see a graph which shows the regression equation between construction activities in the private sector (X axis) in £bn and the total amount of all construction activities ...
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38 views

cvFit mean predicted error interpretation for nls models

I have been using the cvFit() function of the cvTools library in order to test my models (nls() ones), but I would like to know more precisely what the cvFit() returns to me when it's done. It only ...
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1answer
121 views

Getting to predicted values using cv.glmnet

I'm a little confused by the predict function with a cv.glmnet object. I'm running these two lines: ...
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0answers
8 views

Precision in a multi-label classification when empty set is predicted

As we know, for a test instance, the precision of a prediction is defined as |T intersect P|/|P|, where T is the true set of labels and P the predicted one. Then what is the precision when P is ...
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1answer
16 views

Predictive analysis based on history

Let me first say that I am a CS person and my knowledge about statistics is quite basic. I am trying to see what predictive analysis to use for a problem I am trying to solve. I will try to make my ...
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2answers
35 views

Predict Seasonal Variations

I am developing an application related to pharmaceutical industry. Certain items are sold in significantly higher quantities during specific periods of the year. For example, here in my country, ...