[R] prediction intervals for robust regression

[Burns, Jonathan (NONUS)]

I have created robust regression models using least trimmed squares and MM-regression (using the R package robustbase).

I am now looking to create prediction intervals for the predicted results.  While I have seen some discussion in the literature about confidence intervals on the estimates for robust regression, I haven't had much success in finding out how to create prediction intervals for the results.  I was wondering if anyone would be able to provide some direction on how to create these prediction intervals in the robust regression setting.

Thanks,

Jonathan Burns
Sr. Statistician
General Dynamics Information Technology
Medicare & Medicaid Solutions
One West Pennsylvania Avenue
Baltimore, MD 21204
(410)-842-1594
Jonathan.Burns1 at gdit.com<mailto:Jonathan.Burns1 at gdit.com>
www.gdit.com<http://www.gdit.com/>


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