9
$\begingroup$

I have the following data located here. I am attempting to calculate the 95% confidence interval on the mean purity when the hydrocarbon percentage is 1.0. In R, I enter the following.

> predict(purity.lm, newdata=list(hydro=1.0), interval="confidence", level=.95)
   fit      lwr      upr
1 89.66431 87.51017 91.81845

However, how can I derive this result myself? I attempted to use the following equation.

$$s_{new}=\sqrt{s^2\left(1+\frac{1}{N}+\frac{(x_{new}-\bar x)^2}{\sum(x_i-\bar x)^2}\right)}$$

And I enter the following in R.

> SSE_line = sum((purity - (77.863 + 11.801*hydro))^2)
> MSE = SSE_line/18
> t.quantiles <- qt(c(.025, .975), 18)
> prediction = B0 + B1*1
> SE_predict = sqrt(MSE)*sqrt(1+1/20+(mean(hydro)-1)^2/sum((hydro - mean(hydro))^2))
> prediction + SE_predict*t.quantiles
[1] 81.80716 97.52146

My results are different from R's predict function. What am I misunderstanding about prediction intervals?

$\endgroup$
  • $\begingroup$ How are you calculating the MSE in your code? $\endgroup$ – user25658 Sep 4 '13 at 5:25
  • $\begingroup$ I added the calculation to the post. $\endgroup$ – idealistikz Sep 4 '13 at 5:29
  • 1
    $\begingroup$ as MMJ suggested you should try predict(purity.lm, newdata=list(hydro=1.0), interval="prediction", level=.95) $\endgroup$ – vinux Sep 4 '13 at 9:30
16
$\begingroup$

Your predict.lm code is calculating confidence intervals for the fitted values. Your hand calculation is calculating prediction intervals for new data. If you want to get the same result from predict.lm that you got from the hand calculation then change interval="confidence" to interval="prediction"

$\endgroup$
1
$\begingroup$

Good answer from dpel. I would add that the difference between confidence interval and prediction interval can be stated like below:

Confidence interval $$ s_{new}=\sqrt{s^2\left(\frac{1}{N}+\frac{(x_{new}-\bar x)^2}{\sum(x_i-\bar x)^2}\right)} $$

Prediction interval $$ s_{new}=\sqrt{s^2\left(1+\frac{1}{N}+\frac{(x_{new}-\bar x)^2}{\sum(x_i-\bar x)^2}\right)} $$

Source See slide page 5/17 and 11/17

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.