[R] prediction intervals for robust regression

[Bert Gunter]

Presumably you've checked out:

http://cran.r-project.org/web/views/Robust.html

If you can estimate the variance of parameter estimates, betahat, then
you can estimate the variance of a predicted value, X betahat; add the
estimated variance of individuals to this if that's what you're
looking for (and it's not already available).

Further questions should go to a statistics site like
stats.stackexchange.com, as statistical questions are off topic here.

Cheers,
Bert

Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374

"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
Clifford Stoll




On Wed, Feb 11, 2015 at 11:03 AM, Burns, Jonathan (NONUS)
<Jonathan.Burns1 at gdit.com> wrote:
> 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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