I have a model that I've used MSE as the accuracy metric. After reading this article on calculating prediction intervals using MSE I looked around for other resources.
I then found this PDF from Wharton that suggests y_hat +/- 2 * RMSE
forms a prediction interval for y. However it doesn't tell me what percent prediction interval this is. Is this the 95% prediction interval for y_hat
?
As a result I'm a little confused on how to derive the right formula for a N% prediction interval given the RMSE or MSE of the model. Could anyone point me to the right resources, or show me how to derive the formula for this, so I can actually understand how they've arrived at what seems like two different formulas?