From: Christoph Buser <buser_at_stat.math.ethz.ch>

Date: Wed 20 Jul 2005 - 02:35:37 EST

Christoph Buser <buser@stat.math.ethz.ch> Seminar fuer Statistik, LEO C13

http://stat.ethz.ch/~buser/

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Jul 20 02:42:36 2005

Date: Wed 20 Jul 2005 - 02:35:37 EST

Dear Matthias

Can you provide an example to demonstrate what you did? Two remarks to your email. Maybe that answers already your question.

- Using predict() you will get the estimated value for each observation or for new data. You can reproduce this value by using the coefficients from your estimated model (see the example below). For the interval you can get a confidence interval for the expected value under fixed conditions of the explanatory variables or you can obtain a prediction interval for a single new observation. The latter is of course wider, since you try to catch a single observation and not the expected value.
- Using confint() you will get the estimated parameters (which are random variables, too) and their confidence interval. You can use the estimated values to calculate the predicted values.

But you can NOT use the upper values from confint to
estimate the upper values from predict by just putting them into
your regression model. Thats not the way how confidence
intervals are constructed.

(I am not sure if this was your intention. Maybe if you show a
reproducible example you can correct me if you meant something
different)

## R Code

## Creation of a dataframe

set.seed(1)

x1 <- runif(40)

f1 <- rep(c("a", "b", "c","d"), each = 10)
y <- 2*x1 + rep(c(0.5, 0.1, -0.6, 1.5), each = 10) + rnorm(40, 0, 2)
dat <- data.frame(y = y, f1 = f1, x1 = x1)
## regression model

reg <- lm(y~ x1 + f1, data = dat)

summary(reg)

confint(reg)

predict(reg, type=c("response"), interval = "confidence")

## caluclation of predicted values using the estimated ## coefficients

## estimated coefficients

co <- summary(reg)$coefficients[,"Estimate"]
## Using the regression model with that coefficients
## for observation 11

co["(Intercept)"] + dat[11,"x1"]*co["x1"] + co["f1b"]
## prediction of observation 11

predict(reg, type=c("response"))[11]

Regards,

Christoph

Christoph Buser <buser@stat.math.ethz.ch> Seminar fuer Statistik, LEO C13

ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND phone: x-41-44-632-4673 fax: 632-1228

http://stat.ethz.ch/~buser/

Matthias Eggenberger writes:

> When I callculate a linear model, then I can compute via confint the

* > confidencial intervals. the interval level can be chosen. as result, I get
** > the parameter of the model according to the interval level.
** >
** > On the other hand, I can compute the prediction-values for my model as well
** > with predict(object, type=c("response") etc.). Here I have also the
** > possibility to chose a level for the confidential intervals. the output are
** > the calculatet values for the fit, the lower and upper level.
** >
** > the problem now is, that when I calculate the values through the linear
** > model function with the parameter values I get from confint() an I compare
** > them with the values I get from predict() these values differ extremely. Why
** > is that so? Does the command predict() calculate the values through an other
** > routine? That means the command predict() doesn't use the same parameters to
** > calculate the prediction-values than the ones given by confint()?
** >
** > Greetings Matthias
** >
** > --
** > GMX DSL = Maximale Leistung zum minimalen Preis!
** >
** > ______________________________________________
** > R-help@stat.math.ethz.ch mailing list
** > https://stat.ethz.ch/mailman/listinfo/r-help
** > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
*

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Jul 20 02:42:36 2005

*
This archive was generated by hypermail 2.1.8
: Fri 03 Mar 2006 - 03:33:48 EST
*