Re: [R] Confidence intervals for predicted values in nls
Cristina Silva wrote:
Dear all
I have tried to estimate the confidence intervals for predicted values of a
nonlinear model fitted with nls. The function predict gives the predicted
values and the lower and upper limits of the prediction, when the class of
the object is lm or glm. When the object is derived from nls, the function
predict (or predict.nls) gives only the predicted values. The se.fit and
interval aguments are just ignored.
Could anybody tell me how to estimate the confidence intervals for the
predicted values (not the model parameters), using an object of class nls?
Regards,
Cristina
--
Cristina Silva
IPIMAR - Departamento de Recursos Marinhos
Av. de Brasília, 1449-006 Lisboa
Portugal
Tel.: 351 21 3027096
Fax: 351 21 3015948
[EMAIL PROTECTED]
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maybe this example helps:
==cut here===
#define a model formula (a and b are the parameters, f is x):
frml - k1 ~ f*(1-a*exp(-b/f))
#simulate some data:
a0 - .6
b0 - 1.2
f - seq(0.01,4,length=20)
k1true- f*(1-a0*exp(-b0/f))
#include some noise
amp - .1
k1 - rnorm(k1true,k1true,amp*k1true)
#fit:
fifu - deriv(frml,c(a,b),function(a,b,x){})
rr-nls(k1~fifu(a,b,f),start=list(a=.5,b=1))
#the derivatives and variance/covariance matrix:
#(derivs could be extracted from fifu, too)
dk1.da - D(frml[[3]],'a')
dk1.db - D(frml[[3]],'b')
covar - vcov(rr)
#gaussian error propagation:
a - coef(rr)['a']
b - coef(rr)['b']
vark1 -
eval(dk1.da)^2*covar[1,1]+
eval(dk1.db)^2*covar[2,2]+
2*eval(dk1.da)*eval(dk1.db)*covar[1,2]
errk1 - sqrt(vark1)
lower.bound - fitted(rr)-2*errk1 #two sigma !
upper.bound - fitted(rr)+2*errk1 #dito
plot(f,k1,pch=1)
ff - outer(c(1,1),f)
kk - outer(c(1,1),k1)*c(1-amp,1+amp)
matlines(ff,kk,lty=3,col=1)
matlines(f,cbind(k1true,fitted(rr),lower.bound,upper.bound),col=c(1,2,3,3),lty=c(1,1,2,2))
xylim - par('usr')
xpos - .1*(xylim[2]-xylim[1])+xylim[1]
ypos - xylim[4] - .1*(xylim[4]-xylim[3])
legend(xpos,ypos,
c(
'data',
'true',
'fit',
'confidence'
),
pch=c(1,-1,-1,-1),
lty=c(0,1,1,2),
col=c(1,1,2,3)
)
==cut here===
if you put this in a file and source it a few times from within R you'll
get an impression how often the fit deviates from the 'true' curve more
than expected from
the shown confidence limits.
I believe this approach is 'nearly' valid as long as gaussian error
probagation is valid (i.e. only to first order in covar and therefore
for not too large std. errors, am I right?).
to my simple physicist's mind this should suffice to get 'reasonable'
(probably, in strict sense, not completely correct?) confidence
intervals for the fit/the prediction.
If somebody objects, please let me know!
joerg
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Re: [R] Confidence intervals for predicted values in nls
Parece que não tiveste grandes ajudas. Eu se fosse a ti fazia isso com um bootstrap bem planeado Alberto On Thursday 03 June 2004 21:22, Prof Brian Ripley wrote: On Thu, 3 Jun 2004, Cristina Silva wrote: I have tried to estimate the confidence intervals for predicted values of a nonlinear model fitted with nls. The function predict gives the predicted values and the lower and upper limits of the prediction, when the class of the object is lm or glm. When the object is derived from nls, the function predict (or predict.nls) gives only the predicted values. The se.fit and interval aguments are just ignored. Thre are no such arguments either to the generic function nls() nor its nls method. Please do read the documentation! Could anybody tell me how to estimate the confidence intervals for the predicted values (not the model parameters), using an object of class nls? First you need to understand how to do this in theory: thereafter it is a programming task. Hint: to find a confidence region for the parameters is not at all easy, as the examples in MASS (the book) and elsewhere show, and there is no guarantee that the confidence region for the prediction will be a single interval. -- Alberto G. Murta Institute for Agriculture and Fisheries Research (INIAP-IPIMAR) Av. Brasilia, 1449-006 Lisboa, Portugal | Phone: +351 213027062 Fax:+351 213015948 | http://ipimar-iniap.ipimar.pt/pelagicos/ __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Confidence intervals for predicted values in nls
Ops! I apologise for posting my last message to the R list by mistake. -- Alberto G. Murta Institute for Agriculture and Fisheries Research (INIAP-IPIMAR) Av. Brasilia, 1449-006 Lisboa, Portugal | Phone: +351 213027062 Fax:+351 213015948 | http://ipimar-iniap.ipimar.pt/pelagicos/ __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
[R] Confidence intervals for predicted values in nls
Dear all I have tried to estimate the confidence intervals for predicted values of a nonlinear model fitted with nls. The function predict gives the predicted values and the lower and upper limits of the prediction, when the class of the object is lm or glm. When the object is derived from nls, the function predict (or predict.nls) gives only the predicted values. The se.fit and interval aguments are just ignored. Could anybody tell me how to estimate the confidence intervals for the predicted values (not the model parameters), using an object of class nls? Regards, Cristina -- Cristina Silva IPIMAR - Departamento de Recursos Marinhos Av. de Brasília, 1449-006 Lisboa Portugal Tel.: 351 21 3027096 Fax: 351 21 3015948 [EMAIL PROTECTED] __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Confidence intervals for predicted values in nls
On Thu, 3 Jun 2004, Cristina Silva wrote: I have tried to estimate the confidence intervals for predicted values of a nonlinear model fitted with nls. The function predict gives the predicted values and the lower and upper limits of the prediction, when the class of the object is lm or glm. When the object is derived from nls, the function predict (or predict.nls) gives only the predicted values. The se.fit and interval aguments are just ignored. Thre are no such arguments either to the generic function nls() nor its nls method. Please do read the documentation! Could anybody tell me how to estimate the confidence intervals for the predicted values (not the model parameters), using an object of class nls? First you need to understand how to do this in theory: thereafter it is a programming task. Hint: to find a confidence region for the parameters is not at all easy, as the examples in MASS (the book) and elsewhere show, and there is no guarantee that the confidence region for the prediction will be a single interval. -- Brian D. Ripley, [EMAIL PROTECTED] 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, UKFax: +44 1865 272595 __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
