[R] "prediction intervals for glm"

Peter Dalgaard BSA p.dalgaard at biostat.ku.dk
Tue Apr 29 16:48:23 CEST 2003

Spencer Graves <spencer.graves at pdf.com> writes:

> "?predict.glm" produced something in my copy of R 1.6.2 under Windows
> 2000.

.. but probably not what Fredrik wanted. Prediction intervals (i.e.
intervals with 95% probability of catching a new observation) are
somewhat tricky even to define for glms. For Normal responses you have
the formula yhat +- qt(.975,df)* sqrt(s^2+se(yhat)^2), for other
continuous responses that would become (approximately!) the error
distribution convolved with a Gaussian density, for discrete responses
- say 0/1 - I wouldn't know what to do.

> Fredrik Lundgren wrote:

> > Where can i find prediction intervals for glm in R?

   O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907

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