The prediction-interval tag has no wiki summary.
1
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1answer
57 views
Why are my prediction intervals a little too narrow?
I'm trying to make a little function to make population-level predictions from a model that includes random effects, which in turn was fit using a package that doesn't support ...
0
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0answers
44 views
How to calculate the prediction interval for my 24-hour forecast?
I'm doing time series analysis and I would like to calculate the prediction interval. I have predicted the next 24 values for my time series, but now I would also like to calculate the prediction ...
2
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2answers
180 views
How to calculate multi-step prediction intervals for time series data?
I need to manually calculate multi-step prediction intervals for time series data. I know packages like 'forecast' in R provide these, but I cannot use these packages as the production infrastructure ...
0
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0answers
13 views
Terminology for seperately modelling the conditional prediction error of a model?
I have a modelling task in which knowing the accuracy of each prediction is at least as important as the prediction itself. I also know that the accuracy is highly variable; there are certain ...
2
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1answer
210 views
How do I calculate prediction intervals for random forest predictions?
In regression problems random forests yield a prediction for each case by averaging the results of each single tree in the forest. I would like to draw a 95% prediction interval around each ...
1
vote
1answer
117 views
Uncertainty from linear fit on additional data
Let's say I have 5 known data points with coordinates
$X$ : Area under curve
$Y$ : Activity
The 5 points have individual error ($\Delta X_{i}$,$\Delta Y_{i}$) on both $X$ and $Y$ and I know that ...
6
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2answers
477 views
How to: Prediction intervals for linear regression via bootstrapping
I am having trouble to understand how to use bootstrapping to calculate prediction intervals for a linear regression model. Can somebody outline a step-by-step procedure? I searched via google but ...
0
votes
1answer
141 views
Prediction interval for simple linear regression
I have been given two formulas:
$$
\hat{\sigma}^2 = \frac{1}{n-p} (Y - X \beta)^T(Y - X\beta)
$$
$$
= \frac{1}{n-p} \sum ( y_i - \hat{\beta_0} - \hat{\beta_1}x_i)^2
$$
I also have
$$
...
0
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0answers
101 views
Newey West and Prediction Interval
I have a data set of 76 pairs. Y is highly dependent on X but the residuals are serially correlated. Using linear regression, I wish to predict Y from a particular X and also determine Y's prediction ...
2
votes
1answer
186 views
How is a prediction interval generated for many input observations?
I am aware that the "prediction interval", as defined in most textbooks on linear models, is focused on the uncertainty in the model being fit and is used to estimate an output prediction range for ...
2
votes
1answer
233 views
Prediction interval for the one-way random effect ANOVA
I don't find a textbook presenting prediction intervals for mixed models. Moreover I'm only looking for a prediction interval for the balanced one-way random effect ANOVA model. Do you know a formula ...
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0answers
151 views
3
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0answers
77 views
Validating a logistic regression for a specific $x$
I have a logistic regression model for 0/1 binary response data that is built from samples $(x_1,Y_1),\ldots,(x_m,Y_m)$, where $x_1,\ldots,x_m$ are, fixed, nonrandom, real values and $Y_1,\ldots,Y_m$ ...
2
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1answer
195 views
Prediction interval for robust regression with MM-estimator
In their book "Robust Statistics", Maronna et al. consider the following model for robust regression: $y_i = \beta x_i + u_i$, where $u_i$ are independent of the $x_i$, and are i.i.d, with finite ...
0
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0answers
100 views
How to get prediction intervals at mean & at max of covariate values in R
I'm still working on R problems from a book, and using my spending data.
Part 1: I need to predict the amount that a male with average data for status, income and verbal would spend along a 95% CI. ...
4
votes
1answer
542 views
How to calculate the prediction interval from two independent forecasts of time series?
Lets say I have two time series a and b and I predict the next value and a prediction interval (say lower and upper 80%) of each of these two. I end up with something like that: a: [10, 20, 30] and b: ...
5
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0answers
145 views
Calculating prediction intervals when using cross validation
Are standard deviation estimates calculated via:
$
s_N = \sqrt{\frac{1}{N} \sum_{i=1}^N (x_i - \overline{x})^2}.
$
(http://en.wikipedia.org/wiki/Standard_deviation#Sample_standard_deviation)
for ...
0
votes
1answer
183 views
Independent and serial correlation
I have a set of 76 annual occurrences of $x$ and $y$. When I run a linear regression, $y$ is significantly correlated to $x$. The Durbin-Watson test shows $y$ is also serially correlated.
My goal ...
4
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0answers
134 views
Derivation of prediction intervals for a normally distributed population with unknown population standard deviation
I have via the ISO standard 16269 found the solution to a problem that I've been working on. Based on a couple of independent samples from a normally distributed population, I would like to determine ...
2
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3answers
594 views
Should I use the mean-squared-prediction-error from LOOCV for prediction intervals?
I have a question about which prediction variance to use to calculate prediction intervals from a fitted lm object in R.
For a certain multiple linear regression ...
4
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1answer
384 views
Linear regression prediction interval
If the best linear approximation (using least squares) of my data points is the line $y=mx+b$, how can I calculate the approximation error? If I compute standard deviation of differences between ...
4
votes
1answer
402 views
Method to estimate the prediction interval for GLM and negative binomial distribution
I used a Monte-Carlo approach to estimate the prediction interval for a new observation from a GLM using a Negative Binomial distribution. I used this method for linear models and got reliable ...
0
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0answers
29 views
Monte Carlo approach to compute prediction interval for GLM (Poisson & Neg Bin) with R [duplicate]
Possible Duplicate:
Method to estimate the prediction interval for GLM and Negative Binomial distribution
I am trying to compute prediction intervals for GLM using either Poisson or ...
4
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1answer
480 views
Prediction and Tolerance Intervals
I have a couple of questions for prediction and tolerance intervals.
Let's agree on the definition of the tolerance intervals first: We are given a confidence level, say 90%, the percentage of the ...
4
votes
1answer
824 views
Computing prediction intervals for logistic regression
I would like to understand how to generate prediction intervals for logistic regression estimates.
I was advised to follow the procedures in Collett's Modelling Binary Data, 2nd Ed p.98-99. After ...
0
votes
2answers
297 views
Bayesian approach to modelling the prediction interval from a parametric model
I think I have already answered my question, but am not completely sure and would like some input. Please feel free to correct my terminology or misconceptions, I learned stats by osmosis rather than ...
4
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1answer
757 views
How to calculate the confidence interval for time-series prediction?
I have a time series (let's say $X_1$ to $X_n$), and I need to predict the next sample (let say $X_{n+1}, X_{n+2},\dots, X_{n+k}$) using model such as neural network, or multiple linear regression. At ...
1
vote
1answer
65 views
MLR prediction intervals joint region
This thread offers some good information on the calculation of linear regression prediction intervals and includes a link to some practical notes. At the end of the link the author claims that, in ...
0
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1answer
763 views
Is a 1-sided 90% prediction interval equivalent to a 2-sided 95% prediction interval?
I have located references that indicate that a 1-sided confidence band is equivalent to the 95% 2-sided confidence band on a linear regression. Does this equivalence hold true for prediction ...
0
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1answer
219 views
Why doesn't the exponential smoothing forecast package in R provide confidence intervals for the fitted values?
The upper and lower prediction intervals for the forecast periods are provided by the forecast() function.
However, neither prediction or confidence intervals seem to be available for the fitted ...
4
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3answers
272 views
Interpretation of results from linear model predictions
I couldn't see a question addressing this. I think I'm just off the mark somewhere with my thinking. Here is a simple model:
...
9
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4answers
2k views
What is the difference between estimation and prediction?
For example, I have historical loss data and I am calculating extreme quantiles (Value-at-Risk or Probable Maximum Loss). The results obtained is for estimating the loss or predicting them? Where can ...
3
votes
0answers
390 views
Prediction intervals for a Poisson count (in R)
Is there a convenient way in R to calculate a probability prediction interval
for a count sampled from Poisson($\lambda$), for known lambda? That is, for a given
$\alpha$, find $a$ and $b$ such that ...
8
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2answers
4k views
Difference between confidence intervals and prediction intervals
For a prediction interval in linear regression you still use $\hat{E}[Y|x] = \hat{\beta_0}+\hat{\beta}_{1}x$ to generate the interval. You also use this to generate a confidence interval of ...
1
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1answer
219 views
Prediction vs. tolerance interval
I want to predict a factor and also get an upper bound for my prediction. It seems that what I want is prediction interval. but prediction interval only specifies the bound for one next prediction not ...
4
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2answers
379 views
The “sum” of prediction intervals
Suppose I have a regression model which yields a couple of predicted values with their respective prediction intervals and the random quantity that I am interested in is the sum of (some subset) of ...
5
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1answer
642 views
What variation can I expect between lab results if the coefficient of variation is 9%?
I know that correlation of lab to lab test results for clotting times of patients on anticoagulation treatment is not great. Clotting times are measured in INR (international normalized ratio) and a ...
4
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1answer
394 views
Calculate prediction interval for ridge regression?
Does anyone know how to compute the prediction interval for ridge regression? and what's its relation with prediction interval of OLS regression?
0
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2answers
2k views
How to do prediction from a linear regression?
I am not very good in statistics (ok, I'm really bad), I guess this is a very simple question but I dont understand much of the literature.
I have a dataset that is arranged in 2 columns (...
4
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2answers
446 views
Generating dependent time series from a given distribution?
How can I generate dependent time series from a given marginal distribution? I want to be able to adjust the level of dependence, to influence the predictability of the series, which will be given as ...
4
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2answers
431 views
Formula for prediction interval for spatial regression
I have a spatial error model that I have estimated and would like to create a figure with the prediction interval. By spatial error model, I mean that the errors are spatially correlated and thus OLS ...
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4answers
763 views
Obtaining a formula for prediction limits in a linear model
Let's take the following example:
set.seed(342)
x1 <- runif(100)
x2 <- runif(100)
y <- x1+x2 + 2*x1*x2 + rnorm(100)
fit <- lm(y~x1*x2)
This creates a ...
5
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4answers
391 views
Estimating the probability that a software change fixed a problem
At work we have a hardware device that is failing for some yet to be determined reason. I have been tasked to see if I can make this device not fail by making changes to its software driver. I have ...
