hi,
i noticed that se.fit from predict.lm is the same whether interval="conf"
or interval="pred". it is not clear to me from ?predict.lm whether this is
intended or not. i suggest that se.fit should match the type of interval
requested, if interval is specified. suggested change in lm.R line 700
if(se.fit || interval != "none") se <- sqrt(ip)
to
if(se.fit || interval != "none") se <- switch(interval, none = ,
confidence = sqrt(ip), prediction = sqrt(ip+res.var) )
#---sample code to illustrate issue---
x <- rnorm(5);
y <- x + rnorm(5);
out <- lm(y~x);
xf <- data.frame(x=1);
# expected y
ye <- predict(out, xf, se.fit=TRUE, interval="conf");
print(ye$fit);
print( paste("se=", ye$se.fit) );
# actual y
ya <- predict(out, xf, se.fit=TRUE, interval="pred");
print(ya$fit);
print( paste("se=", ya$se.fit) );
#---end of sample code---
h.
p.s. suggestion for ?predict.lm. i don't know whether the
distinction between interval="confidence" and interval="prediction" is
standard terminology. it would be clear if the help page had something
like
interval="confidence" accounts only for coefficient uncertainty,
whereas interval="prediction" accounts for both coefficient and
innovation uncertainty.
> version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 0.0
year 2004
month 10
day 04
language R
----------------------------------
Hiroyuki Kawakatsu
School of Management and Economics
25 University Square
Queen's University, Belfast
Belfast BT7 1NN
Northern Ireland
United Kingdom
Tel +44 (0)28 9097 3290
Fax +44 (0)28 9033 5156
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