[R] "prediction intervals for glm"

[Fredrik Lundgren]

Hello again,

I wouldn't know anything about the theoretical problems with glm and a binary outcome but there is a "prediction interval" in predict.glm of  S-Plus(6.02 version something). I have failed to source it to R (and I do have difficulties with the higher forms of matrix manipulations). In the medical field where I'm active I think it has a high value to generate "prediction intervals" for risk and benefit calculations for individual patients. If it's theoretically fishy or unsound with a prediction interval maybe some bootstrap appraoch could do the trick?

Sincerely Fredrik Lundgren 
----- Original Message ----- 
From: "Peter Dalgaard BSA" <p.dalgaard at biostat.ku.dk>
To: "Spencer Graves" <spencer.graves at pdf.com>
Cc: "Fredrik Lundgren" <fredrik.lundgren at norrkoping.mail.telia.com>; <R-help at stat.math.ethz.ch>
Sent: Tuesday, April 29, 2003 4:48 PM
Subject: Re: [R] "prediction intervals for glm"


> 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