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Questions tagged [prediction-interval]

A prediction interval (also forecast interval) is an interval that covers the future (or otherwise unknown, but observable) value of a random variable with some prespecified probability.

A prediction interval is an interval that covers the future (or otherwise unknown) value of a random variable with some prespecified probability.

Prediction intervals are conceptually related to confidence intervals, but they are not the same. A prediction interval pertains to a realization (which has not yet been observed, but will be observed in the future), whereas a confidence interval pertains to a parameter (which is in principle not observable, e.g., the population mean). See Rob Hyndman's blog post "The difference between prediction intervals and confidence intervals" for more illustration.

In a time series context, prediction intervals are also known as forecast intervals.

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Can a mathematically sound prediction interval have a negative lower bound?

I have used R to form a 95% prediction interval for the number of endemic species on an island. My lower bound is negative – is that mathematically sound? In the linear model used in the prediction interval, the data used are: Area Surface area of…
user42835
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Prediction interval for my bus journey

I take the bus to work and I am trying to make a prediction interval for the journey time to work so that I can leave the house and be 99% sure I will get to work on time. The journey has 2 parts. Waiting for the bus, the bus is meant to come every…
Hugh
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Why are the ends of the prediction interval wider in the regression?

Usually, the prediction interval has this shape in the image. I don't know why the end of the interval is wider than the center.
Hello_World
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Prediction intervals for a single random variable

Prediction intervals seem to be talked about most in the context of regression, but I want to reduce it to one random variable to understand the reasoning. Assume you are sampling from a normal distribution $N(\mu ,\sigma ^{2})$. Wikipedia says the…
Guest
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Interval estimation

I am looking for pointer/advises on producing interval estimation (as opposed to point wise) assuming the noise on my data is not constant. To make is simpler, let's assume the following linear model and hypothesis. $$ y = \theta.\mathbf{x} +…
poulejapon
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Estimating probability of an occurrence from historical data

I have 183 percentages based on the accuracy of a price prediction. (If I predict something will sell at 100, and it sells at 100, then I have sold at 100% of the prediction.) 16 times, the percentage was < 85%. I would like to know how to…
Jeff
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Testing and validating a limit for experimental data

I have found some similar questions to the one I pose here, but the answers are either over my head, or seem to be slightly off point to what I am trying to accomplish. If it's a true repeat, I apologize in advance. I am a test engineer working on a…
Confused in Cape Canaveral
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Prediction intervals for "single future response"?

Faraway (2002, 39-41) states, "There are two kinds of predictions that can be made for a given $x_0$ ... Most times, we will want the first case which is called “prediction of a future value” while the second case, called “prediction of the mean…
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Prediction interval in nnetar forecast

I'm trying to use the forecast package version 5.6 for doing forecasts with "nnetar" function, so I noticed that there's no prediction intervals for forecasting points by this function, eg.: 95% LS and LI. Does someone could help me about how to…
Lopes
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learn prediction intervals (variance, noise)

The problem: I'm looking to emit prediction intervals for each predicted value (the mean) in regression. I need that these intervals cover say 90% of true values and be as narrow as possible. In other words I want to learn and emit variance (or…
sashaostr
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Monte Carlo approach to compute prediction interval for GLM (Poisson & Neg Bin) with R

Possible Duplicate: Method to estimate the prediction interval for GLM and Negative Binomial distribution I am trying to compute prediction intervals for GLM using either Poisson or Negative Binomial distributions. First I developped a…
Maxime
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Calculating prediction interval from data available in publication

I have a publication that provides a linear multiple regression equation from a meta-analysis. LOOCV was used to select the explanatory variables included in a final model from all possible models. A regression equation is provided in the…
Aaron Simmons
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Can you use relative prediction intervals to compare models trained on a different response

Is there a reason not to use a relative prediction interval ( PI/target_value, for a constant PICP) to compare models with different target variables?
Anzl
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Can I assume the normality of prediction interval?

Can I assume the normality of the prediction interval for an arbitrary machine learning model? Or in general, the prediction error can follow any distribution?
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What is a "valid interval" in a prediction?

Learning about linear regression, I was teached that when a linear regression is calculated for a set of points, I can only make predictions with this linear model on the interval setted by the first and last points. However, if a non-linear (or…
Adelson Araújo
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