What is the Formula for Prediction Interval in Multivariate Case? I am using linear model to do prediction, and I would like to calculate my prediction's prediction interval, which, when there is only one predictor, is

However, my model has three predictors. What is the formula for multivariate case?
I have been searching for a while, but I cannot find a formula for this.
 A: What is denoted by $\mathrm{MSE}$ in your formula is the residual mean square which some people, confusingly, call error mean square or even mean squared error$-$hence the abbreviation in your formula.
The residual mean square is an unbiased estimator of the (conditional) error or disturbance variance $\sigma^2$.
It is given by
$$
\hat\sigma^2 = \frac{\sum_{i=1}^n (y_i-\hat y_i)^2}{n-k-1},
$$
where $k$ is the number of regressors. Note that we have $k=1$ in the simple linear regression model, and with three regressors (not counting the intercept) we have $k=3$.
The formula of the prediction interval for the future observation $y_h$ at location $\mathbf{x}_h={(1,x_{h1},\ldots,x_{hk})}^\top$ gets only slightly more complicated in the general case with $k$ regressors:
$$
\hat y_h\mp t_{(1-\alpha/2,\,n-k-1)}\times\sqrt{\hat{\sigma}^2\times\left(1+\mathbf{x}_h^{\top}\left(\mathbf{X}^{\top}\mathbf{X}\right)^{-1}\mathbf{x}_h\right)},
$$
where $\hat y_h =\mathbf{x}_h^\top \hat{\boldsymbol{\beta}}$, $\mathbf{X}$ is the design matrix, and $t_{(1-\alpha/2,\,n-k-1)}$ the  $(1-\alpha/2)$ quantile of the $t$-distribution with $n-k-1$ degrees of freedom.
For $k=1$ this reduces to the formula in your question if we identify the second entry of $\mathbf{x}_h={(1,x_{h1})}^\top$, i.e. $x_{h1}$, with $x_h$.
