I'm using the earth package (using caret train function) MARS spline implementation in order to perform non - linear regression modeling. I would like to obtain a measure of prediction uncertainty (not only the expected value). Is there any way to obtain it? Thanks in advance for any help.
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asked Nov 17, 2014 at 12:13
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1$\begingroup$ Probably bootstrap is the only way. $\endgroup$– mpiktasNov 17, 2014 at 12:31
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Prediction intervals are supported by earth version 4.0.0 (Dec 2014) and higher. See the vignette Variance models in earth that comes with the earth package. You can generate plots such as the following:
