[R] confidence intervalls for multinom
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Apr 5 09:00:11 CEST 2004
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:
> 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
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