[R] confidence intervalls for multinom

[Prof Brian Ripley]

On Mon, 5 Apr 2004, Schmidt.Matthias (FORST) wrote:

> I have used the multinom function from the nnet library to estimate
> probabilties for different levels of a nominal variable:
> 
> predict(object,type="probs")
> 
> Is  there any possibility to estimate confidence intervalls for the
> probabilties with the multinom function?

No, as confidence intervals (sic) apply to single parameters not
probabilities (sic).  The prediction is a probability distribution, so
the uncertainty would have to be some region in Kd space, not an interval.

Why do you want uncertainty statements about predictions (often called
tolerance intervals/regions)?  In this case you have an event which
happens or not and the meaningful uncertainty is the probability
distribution.  If you really have need of a confidence region, you could
simulate from the uncertainty in the fitted parameters, predict and
summarize somehow the resulting empirical distribution.


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
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