I have a vector of values, and have written a function that takes each
value in that vector, generates a normal distribution with that value as
the mean, and then finds the interval at different levels. However, these
intervals don't seem to be right (too narrow).
### CREATE PREDICTION INTERVALS
ensemble_forecast = c(200,600,400,500,200,100,200,600,400,500,200,100)
forecast_for=12
lo_intervals = c()
hi_intervals = c()
create_prediction_intervals <- function(use_forecast = ensemble_forecast,
conf_level = 0.90,
do_jitter = FALSE){
conf.levels1 = paste(round(rep(conf_level, forecast_for/2), 2),
"0",
sep="")
conf.levels2 = seq((conf_level+0.02), 0.95, length=forecast_for/2)
all.conf.levels = c(conf.levels1, conf.levels2)
all.conf.levels = as.numeric(as.character(all.conf.levels))
all.conf.levels
# forc_num=1
for(forc_num in 1:length(use_forecast)){
message("Executing forecast number: ", forc_num, " at
confidence
level: ", all.conf.levels[forc_num])
value = rnorm(5000, mean=use_forecast[forc_num],
sd=sd(use_forecast))
#t.test(value)$conf.int
#Rmisc::CI(value, ci=0.99)
low = Rmisc::CI(value, ci=all.conf.levels[forc_num])[[3]]
high = Rmisc::CI(value, ci=all.conf.levels[forc_num])[[1]]
#low = t.test(value, conf.level=all.conf.levels[forc_num])$conf.int
[[1]]
#high = t.test(value, conf.level=all.conf.levels[forc_num])$
conf.int[[2]]
lo_intervals.tmp <- c(low)
hi_intervals.tmp <- c(high)
if(do_jitter){
if(length(unique(lo_intervals)) <= 3) lo_intervals.tmp <-
round(jitter(lo_intervals.tmp), 0)
if(length(unique(hi_intervals)) <= 3) hi_intervals.tmp <-
round(jitter(hi_intervals.tmp), 0)
lo_intervals <<- c(lo_intervals, lo_intervals.tmp)
hi_intervals <<- c(hi_intervals, hi_intervals.tmp)
} else {
lo_intervals <<- c(lo_intervals, lo_intervals.tmp)
hi_intervals <<- c(hi_intervals, hi_intervals.tmp)
}
}
}
summary(value)
hist(value)
create_prediction_intervals(ensemble_forecast)
Any ideas on what I'm doing wrong?
--
*Abraham MathewData Ninja and Statistical Modeler*
*Minneapolis, MN720-648-0108 at abmathewksAnalytics_Blog
<https://mathewanalytics.wordpress.com/>*
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