I have a regression model (not necessarily linear regression) and a test set. I would like to be able to say: "If you use my model, then with probability 95%, the prediction error will be in the interval [a,b]" where the prediction error is the difference between predicted y and the real y as given by the test data.
Is there any method to estimate the values a and b from the test set?
I know that using bootstrapping I can calculate confidence interval on the predicted value in a given point x. But I need a confidence interval on the error, independently of x.