On Mon, 5 Apr 2004, Schmidt.Matthias (FORST) wrote:
> I have used the multinom function from the nnet library to estimate
> probabilties for different levels of a nominal variable:
>
> predict(object,type="probs")
>
> Is there any possibility to estimate confidence intervalls for the
> probabilties with the multinom function?
No, as confidence intervals (sic) apply to single parameters not
probabilities (sic). The prediction is a probability distribution, so
the uncertainty would have to be some region in Kd space, not an interval.
Why do you want uncertainty statements about predictions (often called
tolerance intervals/regions)? In this case you have an event which
happens or not and the meaningful uncertainty is the probability
distribution. If you really have need of a confidence region, you could
simulate from the uncertainty in the fitted parameters, predict and
summarize somehow the resulting empirical distribution.
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595