Given the caveats Ted describes here: http://tolstoy.newcastle.edu.au/R/help/05/06/5992.html it seems that bootstrapping might be the only way to get (somewhat) credible prediction intervals: the boot package on CRAN can help to facilitate getting these. Here's some documentation for CI:
http://www.statmethods.net/advstats/bootstrapping.html but you'll need to adopt it for a prediction interval, which might entail hacking boot.ci(). You might also see if this question, by someone who most certainly isn't you because cross-posting is discouraged, gets some answers: http://stats.stackexchange.com/questions/26277/how-to-bootstrap-prediction-intervals-for-customized-regression-models-in-r Michael Weylandt On Wed, Apr 11, 2012 at 10:29 AM, Michael <comtech....@gmail.com> wrote: > Hi all, > > Are there functions in R that could help me do the following? > > We have a special type of regression which is called Geometric Mean > Regression. > > We have done some search and found the following: > > https://stat.ethz.ch/pipermail/r-help/2011-July/285022.html > > The question is: how to do the statistical inference on GMR results? > > More specifically, we are looking for the prediction interval: > > Lets say we regress y1, y2, ..., yn onto x1, x2, ..., xn: > > we would like to know what's the prediction interval for a new data point: > > x_new=x1+x2+x3 > > (i.e. the new data point is the sum of the existing first three data points) > > In ordinary linear regression, we could derive prediction interval for an > in-sample data point as well as a new data point... > > For our x_new=x1+x2+x3, we can derive formulas for the prediction interval. > > But for the above customized regression, > > how do we obtain the prediction intervals? > > ------------------------------ > > Are there functions in R that can help us do this? > > We are thinking of using bootstrapping, etc. Are there functions in R help > us on this? > > Thanks a lot! > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
