I want to use the regularized regression technique such as partial least squares (PLS), Lasso, and the elastic-net. However, as far as I know, there is no "standard" way of calculating the prediction interval for those methods. So can I use bootstrap (resample the training data, calculate the prediction) as a way to estimate the prediction interval? Will this method result in accurate coverage of the true mean response?
Asked
Active
Viewed 381 times
2
-
https://stats.stackexchange.com/questions/241082/testing-for-coefficients-significance-in-lasso-logistic-regression – user2974951 Nov 30 '18 at 07:52
-
Are you asking about a confidence interval (on the coefficients), or prediction interval (on the output)? – user20160 Nov 30 '18 at 11:28
-
@user20160 I am asking about the prediction interval – Vickyyy Nov 30 '18 at 19:42