# Questions tagged [prediction-interval]

A prediction interval (also forecast interval) is an interval that covers the future (or otherwise unknown, but *observable*) value of a random variable with some prespecified probability.

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### Target binning in regression

I would like to find a predictive density for target variable via multi-class classification. Suppose we are given a set of features $\mathbf X$ and continuous target $\mathbf y$. Replace each $y$ ...
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1 vote
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### Which error metric should I use for summed estimates?

I built an ensemble regression model (Random Forest + KNN + SVM) to predict biomass based on environmental conditions (biomass is strictly positive but continuous). I now would like to use this model ...
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### Confidence interval for (unobserved) sample mean

Suppose I take two samples, $a$ and $b$, from a population (or super population) but that I only observe $b$. However, I want to construct a confidence interval for $\bar{a}$, the average of the ...
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### Quantifying uncertainty with RVM

I am reading about relevance vector machines as a potential methodology to address a regression problem with prediction of a continuous variable, where I more specifically want to work with a model ...
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### How to compute a prediction interval from ordinary least squares regression output alone?

This question has been haunting me for a long time, When I'm given an R output of linear regression, and asked to calculate 95% prediction interval, I feel there's something missing. In this output, ...
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### Aggregation of Interval Predictions

Given a montly time series, my objective is to provide my client with the next 12 point forecasts along with a yearly forecast. To obtain the yearly forecast, I simply sum up the 12 points forecasts. ...
338 views

### Real future value out of 95% predict interval for ARIMA forecast

When the predicted future value actually materializes, does it matter if it is outside the predict interval? The value of prediction intervals is that they express the uncertainty in the forecasts. ...
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