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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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 $\log(y) = a + b_1 x_1 + b_2 x_2 + e$, ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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Prediction of random sum of binomial variables
Let us consider $\xi\sim\sum\limits_{i=1}^v\text{Bin}(1,p):=\sum\limits_v\eta$.
Where $v$ is random variable with unknown distribution. Let $\mathbb{E}v^m<\infty \quad\forall m$.
We know, that
$$...
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Bootstrap intervals for predictions, how to interpret it?
I want to come up with a way to get how confident I am in my predictions. I am not using a Bayesian model so I was thinking a bootstrap confidence interval would be good:
I would re-sample my ...
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Do regression algorithms give you a probability associated to each predicted value?
I am looking for an algorithm to predict an amount of money (a real value), therefore I am thinking of using a regression algorithm. However, I also need to know the probability associated to that ...
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Compare forecast interval between ARIMA and ARIMA/GARCH
I tried to compute parameters of ARIMA/GARCH in two step. The first one is to build ARIMA and then fit GARCH using iid Gaussian MLE estimation. The second one is to construct ARIMA/GARCH ...
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How to interpret forecast output in words
May I ask you guys regarding forecast in R?
How should I interpret this graph? Please describe it in easy-understandable words.
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Prediction interval for lasso regression with time series data
I am currently working with time series data. My objective is to predict the a certain value at time t given some other variables that we will know the same day ( but prior to our objective variable). ...
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Plus/Minus Model accuracy from $R^2$
I completed a linear regression for a model I was working on, and obtained that the $R^2$ value was $R^2 = 0.801$.
Can one assess a $\pm$ error from this value for future predictions? I.e., if I now ...
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Probabilities of different forecasts from linear regression
Let's suppose for the sake of simplicity that we have the following linear regression:
Y=a+b*X
Where Y would be the sales of ...
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Multistep prediction interval for ARMA(p,q) process
How do I find an $h$-step prediction interval (forecast interval) for a zero-mean ARMA(p,q) process
$$
x_t = \varphi_1 x_{t-1} + \dots + \varphi_p x_{t-p} + \varepsilon_t + \theta_1\varepsilon_{t-1} +...
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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 ...
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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 ...
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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 ...
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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?
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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 ...
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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 ...
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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, ...
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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 ...
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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?
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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 ...
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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 ...
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Prediction intervals for the outcome of a logistic regression with binomial response
Suppose we have a logistic regression model:
$$\begin{align}
P(y=1\vert\mathbf{x}) &= p \\
\log\left(\frac{p}{1-p}\right) &= \boldsymbol{\beta}\mathbf{x}
\end{align}$$
Given a random sample $...
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Prediction interval for function of binary outcomes in GLM
I have a large data set with binary outcomes $\vec{y} = (y_1,\dots,y_n)$ with $y_i\in\{0,1\}$ and covariates $\mathbf{X} = (\vec{x}_1, \dots ,\vec{x}_n)^\top$. One of the goals of the model I am ...
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Usage of predict on regression model
I'm trying to understand how to calculate the prediction interval (PI) from a regression model.
I want to calculate the PI of specific values not observed in the dataset.
I saw that predict can do it ...
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Predict lower and upper bounds for some total value
For several weeks now, I'm stuck with this problem:
Given some $x_i$ for $i\in1...n$ I have to make a prediction (by some regression algorithm such as OLS regression or regression trees, since ...
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Prediction Confidence Intervals when fitting a GAM model using gam package
Is there any way to get a prediction confidence interval from a model fit with gam package? Working with mgcv is not an option for me as it doesn't provide as good fit as gam does on my data.
The ...
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Is the variation in the residual standard deviation (on sample) accounted for when one builds a prediction interval (PI)?
This question is somehow related to Is the residual, e, an estimator of the error, $\epsilon$?
I also found some information here: Confidence interval of RMSE
Let's say, I got a model that explains ...
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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
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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; ...
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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 ...
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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 ...
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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)
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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 ...
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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% ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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Huge forecast intervals on differenced time series?
I'm forecasting 12 periods h=12 using an ETS() model on a time series that I integrated using a first difference ...
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