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This question already has an answer here:

I'd like to produce 95% prediction intervals along with predictions from my model. I'm using a moderately large dataset and making thousands of predictions, so I was wondering if there was some way for me to calculate the prediction interval directly without bootstrapping.

I'm using the LinearRegression model (with multiple features) for now, though will most likely use one of the models that incorporate regularization down the road

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marked as duplicate by gung Feb 9 '18 at 16:36

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  • $\begingroup$ A model based prediction interval is calculated using a (1+1/n)*residual-sd error bar for the predicted value $\endgroup$ – AdamO Feb 8 '18 at 21:16
  • $\begingroup$ What model are you using? $\endgroup$ – Dougal Feb 8 '18 at 21:46
  • $\begingroup$ @Dougal I'm using the LinearRegression model (with multiple features) for now, though will most likely use one of the models that incorporate regularization down the road $\endgroup$ – James Kelleher Feb 9 '18 at 15:12