Re: [R] "prediction intervals for glm"

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From: Fredrik Lundgren (fredrik.lundgren@norrkoping.mail.telia.com)
Date: Thu 01 May 2003 - 21:47:28 EST 

Message-id: <000f01c30fd7$74ed4d40$2d0ffea9@oemcomputer>

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

> Spencer Graves <spencer.graves@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@biostat.ku.dk) FAX: (+45) 35327907

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