# 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.

502 questions
Filter by
Sorted by
Tagged with
1 vote
153 views

### Prediction interval for log transformed variable in Stata [duplicate]

I want to predict $y$ with $x_1$ and $x_2$, including an out of sample prediction interval. However, $y$ has large outliers, so I log transform $y$ and estimate $\log(y) = a + b_1 x_1 + b_2 x_2 + e$, ...
• 1,241
1 vote
135 views

### How to correctly compare the accuracy of different forecasting methods using bootstrapping with time series forecasting

I am currently working on a forecasting project and I have tried several different models to forecast with. Having trained and tuned my models I want to pick which model works best for each time ...
• 561
1k views

### Machine Learning - Prediction Interval - Cheating?

I work at a company that is trying to use machine learning methods in particular gradient boosting and neural networks to make predictions on stock market data, so using historical data to predict ...
• 1,685
1 vote
65 views

### Calculating prediction bounds from composite data

I have several (partially overlapping) data curves of oscilloscope-measured detector voltage as a function of time (very simple hypothetical example as follows): There is an underlying physics ...
225 views

### Probability for mean of a subpopulation

Suppose I have drawn 21 samples from a population which I assume to be normal, where the sample has mean 3.8 and sample standard deviation 0.7. What is the probability that the mean of the next 210 ...
• 2,382
179 views

### How to test whether 2 prediction intervals are statistically different?

I've been struggling with this for a while now, hopefully someone will know how to help me :) Here it is : 1) I'm using a linear mixed effects model on longitudinal data (biological values of many ...
• 41
630 views

### Is this interpretation of prediction intervals correct?

I have a regression model relating to a ''normal'' population. If a new observation which corresponds to point $x$ is outside the prediction interval at $x$, do I have a reason to suspect the new ...
• 51
195 views

### Measuring uncertainty of a fitted calibration curve

My question is: how can you compute the prediction interval of a calibration curve, just like you might for any other regression model. A calibration curve maps estimated probabilities to empirical ...
• 24.8k
90 views

### How to test whether a prediction interval truly captures 95%?

I want to analyze the 95% prediction intervals for a model. The true values should fall within the prediction intervals 95% of the time (on average) if the interval is well calibrated. If the ...
295 views

### Prediction interval for sampled count data

I am trying to get prediction intervals around a sampled count variable. For example, say I want to know the number of letters an apartment building receives every day. Each day I record the count ...
2k views

### How to you measure the accuracy of a model that gives quantile forecasts or distributions of forecasts?

I've come across some recent demand forecasting approaches that present methods where instead of generating just a point forecast, the model outputs a set of forecast quantiles, or a distribution of ...
• 11.3k
1 vote
77 views

• 62.3k
1 vote
3k views

### How to make $h$-step interval forecasts from an ARMA-GARCH model?

I recently wrote various Python functions to fit ARMA models and make forecasts from them. I am now trying to do the same for ARMA-GARCH models. To make $h$-step forecasts from ARMA models, I used ...
• 285
1 vote
409 views

### Estimated Mean and Confidence Interval and Predicted Value and Prediction Interval

This question comes from Ramsey and Schafer Statistical Sleuth, Second Edition, Chapter 7: Immediately after slaughter the pH in postmortem muscle of a steer carcass is around 7.0-7.2. For a ...
• 1,424
1 vote
1k views

### Choosing model to predict next value in a sequence

Background: I am currently starting to work on a Machine Learning project that might be of use in car racing. The goal of it is to give engineers suggestions about strategies. First thing I am ...
137 views

### Prediction interval in simple linear regression; classical v/s bayesian

Is there any conceptual difference in the prediction interval for simple linear regression between classical and bayesian statistics with non-informative prior?
• 103
1 vote
60 views

### How to calculate prediction intervals using best-fit parameters when parameters covary?

I'm doing a nonlinear least-squares regression to find best-fit values for two parameters. I then want to use these best-fit parameters and their variances to extrapolate to a predicted value. It's ...
1 vote
506 views

### Why does Prediction Interval of lm function in R Return a Static Interval

I am looking for a simple method that will capture the relationship between predictor variables and the variance of the outcome. As a simple reproducible example consider this code where I ...
• 111
684 views

### Prediction Interval for Mean of Predictions

This question is about creating a prediction interval for the mean of predictions from a regressor. Let's say I have arbitrary regression function (not necessarily parametric, could be random forest, ...
• 193
1 vote
436 views

### How to calculate prediction Intervals for a sum of predicted values from a mixed-effects model

I have a mixed-effects regression model and have predicted values with their respective prediction intervals. I would like to obtain the sum of these predicted values, and create a prediction interval ...
613 views

### ARIMA-GARCH vs. ARIMA

How do the prediction intervals for ARIMA models compare with ARIMA-GARCH models? Should we expect the prediction intervals for one to be narrower/wider than the other?
• 51
144 views

### Calculating Prediction Intervals/Binomial Distribution with varying probabilities

Embarrassingly simple question here and apologies if this is all over the web, I was lacking some of the vocab I needed to Google it. Let's say I have a set of samples with varying probabilities for ...
• 101
225 views

### infinitesimal jackknife confidence intervals for bagged learners are NOT prediction intervals, right?

Wager, Hastie, and Efron present a method for computing confidence intervals for RF predictions. Confidence intervals have to do with the variability of the expectation, not the expectation of the ...
• 12.8k
1k views

• 2,559
1k views

### Prediction intervals for generalized least squares model with heteroscedastic errors

I wanted to model some data with heteroscedastic errors using a gls model of the form ...
• 2,624
377 views

### Is there a general and model-independent way of calculating prediction intervals in machine learning for regression task?

I’m training some supervised machine learning algorithm to perform the prediction of a continuous variable. I’m currently applying a nested cross-validation protocol (inner: LOOCV; outer: LOOCV; ...
335 views

### Estimating probability of an occurrence from historical data

I have 183 percentages based on the accuracy of a price prediction. (If I predict something will sell at 100, and it sells at 100, then I have sold at 100% of the prediction.) 16 times, the ...
• 31
4k views

### Can I calculate prediction intervals in scikit-learn for a linear model without bootstrapping? [duplicate]

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 ...
1 vote
792 views

### Difference between confidence or prediction interval vs. quantile regression

I have a data set (x1,y1),(x2,y2),...,(xn,yn) and will do a simple linear regression with unequal variance assumption. (If you see the scatterplot of x-y, then the range of y increases as x increases) ...
• 1,087
80 views

### ARMA model for monthly price returns based on daily data. is rolling window claibration ok?

If i have daily prices for 5 years, and want to predict monthly relative returns , is rolling window calibration is used for ARMA(and thus use all available data) ? or it's better to use just one ...
• 101
2k views

### Confidence interval vs. prediction interval misunderstanding

Problem I have a time series data set with about 50 observations. I'd like to compute an interval that may contain the next/future value in the time series (the 51st data point). I tried using a 90% ...
• 21
277 views

### Derivation of prediction interval when regressand is in log form

In Wooldridge's "Introductory Econometrics: A Modern Approach", 5th edition, p. 212-215, the author describes the procedure for obtaining predictions from an OLS regression when the regressand is in ...
• 1,010
2k views

### Derivation of confidence and prediction intervals of predictions for probit and logit (and GLMs in general)

The derivation of the prediction interval for the linear model is quite simple: Obtaining a formula for prediction limits in a linear model . How to derive the confidence and prediction intervals for ...
621 views

### Frequentist Predictive Distribution for a Cauchy variable

I have not been able to find this in the literature, but that probably means I am looking in the wrong spot. I am looking to find the Frequentist predictive distribution, assuming it exists, for a ...
• 7,362
1 vote
57 views

### Estimating the proportion of a multivariate normal distribution that's not fully contained within variable-specific intervals using a sample

Scenario: You sample a number of observations (say, 20) from a multivariate normal distribution of, say, 3 variables. The variables will typically be positively intercorrelated, but little else is ...
• 343
1 vote
543 views

### Prediction interval for the predicted probability obtained using a logistic regression for new subject

I am trying to calculate the prediction interval for the predicted probability for a new subject using a logistic regression, and I wonder if we can use the same formulas that is used for linear ...
• 11