On 11/02/2015 19:38, Bert Gunter wrote:
Presumably you've checked out:
http://cran.r-project.org/web/views/Robust.html
If you can estimate the variance of parameter estimates, betahat, then
you can estimate the variance of a predicted value, X betahat; add the
estimated variance of individuals to this if that's what you're
looking for (and it's not already available).
But that's not too much use without some idea of the error distribution,
and using robust statistics assumes it is non-normal, long-tailed. And
it is unusual to have enough data to estimate the tail behaviour of such
a distribution.
It might be better to do this with a parametric model with a long-tailed
error distribution, especially if there is evidence (e.g. from other
samples) about the latter.
Further questions should go to a statistics site like
stats.stackexchange.com, as statistical questions are off topic here.
Agreed.
Cheers,
Bert
Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374
"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
Clifford Stoll
On Wed, Feb 11, 2015 at 11:03 AM, Burns, Jonathan (NONUS)
<jonathan.bur...@gdit.com> wrote:
I have created robust regression models using least trimmed squares and
MM-regression (using the R package 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 in finding
out how to create prediction intervals for the results. I was wondering if
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
(410)-842-1594
jonathan.bur...@gdit.com<mailto:jonathan.bur...@gdit.com>
www.gdit.com<http://www.gdit.com/>
--
Brian D. Ripley, rip...@stats.ox.ac.uk
Emeritus Professor of Applied Statistics, University of Oxford
1 South Parks Road, Oxford OX1 3TG, UK
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