R help - Apr 2012 - inference for customized regression in R?

Hi all,

Are there functions in R that could help me do the following?

We have a special type of regression which is called Geometric Mean
Regression.

We have done some search and found the following:

https://stat.ethz.ch/pipermail/r-help/2011-July/285022.html

The question is: how to do the statistical inference on GMR results?

More specifically, we are looking for the prediction interval:

Lets say we regress y1, y2, ..., yn onto x1, x2, ..., xn:

we would like to know what's the prediction interval for a new data point:

x_new=x1+x2+x3

(i.e. the new data point is the sum of the existing first three data points)

In ordinary linear regression, we could derive prediction interval for an
in-sample data point as well as a new data point...

For our x_new=x1+x2+x3, we can derive formulas for the prediction interval.

But for the above customized regression,

how do we obtain the prediction intervals?

------------------------------

Are there functions in R that can help us do this?

We are thinking of using bootstrapping, etc. Are there functions in R help
us on this?

Thanks a lot!

	[[alternative HTML version deleted]]

Given the caveats Ted describes here:
http://tolstoy.newcastle.edu.au/R/help/05/06/5992.html it seems that
bootstrapping might be the only way to get (somewhat) credible
prediction intervals: the boot package on CRAN can help to facilitate
getting these. Here's some documentation for CI:

http://www.statmethods.net/advstats/bootstrapping.html

but you'll need to adopt it for a prediction interval, which might
entail hacking boot.ci().

You might also see if this question, by someone who most certainly
isn't you because cross-posting is discouraged, gets some answers:
http://stats.stackexchange.com/questions/26277/how-to-bootstrap-prediction-intervals-for-customized-regression-models-in-r

Michael Weylandt

On Wed, Apr 11, 2012 at 10:29 AM, Michael <comtech.usa at gmail.com>
wrote:
> Hi all,
>
> Are there functions in R that could help me do the following?
>
> We have a special type of regression which is called Geometric Mean
> Regression.
>
> We have done some search and found the following:
>
> https://stat.ethz.ch/pipermail/r-help/2011-July/285022.html
>
> The question is: how to do the statistical inference on GMR results?
>
> More specifically, we are looking for the prediction interval:
>
> Lets say we regress y1, y2, ..., yn onto x1, x2, ..., xn:
>
> we would like to know what's the prediction interval for a new data
point:
>
> x_new=x1+x2+x3
>
> (i.e. the new data point is the sum of the existing first three data
points)
>
> In ordinary linear regression, we could derive prediction interval for an
> in-sample data point as well as a new data point...
>
> For our x_new=x1+x2+x3, we can derive formulas for the prediction interval.
>
> But for the above customized regression,
>
> how do we obtain the prediction intervals?
>
> ------------------------------
>
> Are there functions in R that can help us do this?
>
> We are thinking of using bootstrapping, etc. Are there functions in R help
> us on this?
>
> Thanks a lot!
>
> ? ? ? ?[[alternative HTML version deleted]]
>
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