[R] Prediction intervals (i.e. not CI of the fit) for monotonic loess curve using bootstrapping

Jan Stanstrup jan.stanstrup at fmach.it
Tue Aug 12 09:23:18 CEST 2014


I am trying to find a way to estimate prediction intervals (PI) for a 
monotonic loess curve using bootstrapping.

At the moment my approach is to use the boot function from the boot 
package to bootstrap my loess model, which consist of loess + monoproc 
from the monoproc package (to force the fit to be monotonic which gives 
me much improved results with my particular data). The output from the 
monoproc package is simply the fitted y values at each x-value.
I then use boot.ci (again from the boot package) to get confidence 
intervals. The problem is that this gives me confidence intervals (CI) 
for the "fit" (is there a proper way to specify this?) and not a 
prediction interval. The interval is thus way too optimistic to give me 
an idea of the confidence interval of a predicted value.

For linear models predict.lm can give PI instead of CI by setting 
interval = "prediction". Further discussion of that here:

However I don't see a way to do that for boot.ci. Does there exist a way 
to get PIs after bootstrapping? If some sample code is required I am 
more than happy to supply it but I thought the question was general 
enough to be understandable without it.

Any hints are highly appreciated.

Jan Stanstrup

Food Quality and Nutrition
Fondazione Edmund Mach

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