[RsR] Prediction Intervals for Robust Regression

[Stromberg, Arnold]

Jonathan,
Seems straightforward theoretically, let's see if anyone has implemented them in R.

Arny


Arnold J. Stromberg
Professor and Chair
Department of Statistics
University of Kentucky
313 Multidisciplinary Science Building
725 Rose Street
Lexington, KY 40536-0082
Phone: 859-257-6115
Fax: 859-323-1973

-----Original Message-----
From: R-SIG-Robust [mailto:r-sig-robust-bounces using r-project.org] On Behalf Of Jonathan Burns
Sent: Wednesday, February 11, 2015 12:42 PM
To: r-sig-robust using r-project.org
Subject: [RsR] Prediction Intervals for Robust Regression

I have created robust regression models using least trimmed squares and MM- regression (using 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 on prediction intervals for the results.  I was wondering 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
Jonathan.Burns1 using gdit.com
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