R: Compute Credible (Bayesian Confidence) Intervals for a BAS...

confint.pred.bas {BAS} | R Documentation

## Compute Credible (Bayesian Confidence) Intervals for a BAS predict object

### Description

Compute credible intervals for in-sample or out of sample prediction or for the regression function

### Usage

    ## S3 method for class 'pred.bas'
    confint(object, parm, level = 0.95, nsim = 10000, ...)

### Arguments

`object` | an object created by `predict.bas`
`parm` | character variable, "mean" or "pred". If missing parm='pred'.
`level` | the nominal level of the (point-wise) credible interval
`nsim` | number of Monte Carlo simulations for sampling methods with BMA
`...` | optional arguments to pass on to next function call; none at this time.

### Details

This constructs approximate 95 percent Highest Posterior Density intervals for 'pred.bas' objects. If the estimator is based on model selection, the intervals use a Student t distribution using the estimate of g. If the estimator is based on BMA, then nsim draws from the mixture of Student t distributions are obtained with the HPD interval obtained from the Monte Carlo draws.

### Value

a matrix with lower and upper level * 100 percent credible intervals for either the mean of the regression function or predicted values.

### Author(s)

Merlise A Clyde

### See Also

`predict.bas`

Other bas methods: `BAS`, `bas.lm()`, `coef.bas()`, `confint.coef.bas()`, `diagnostics()`, `fitted.bas()`, `force.heredity.bas()`, `image.bas()`, `plot.confint.bas()`, `predict.basglm()`, `predict.bas()`, `summary.bas()`, `update.bas()`, `variable.names.pred.bas()`

Other CI methods: `confint.coef.bas()`, `plot.confint.bas()`

### Examples

    data("Hald")
    hald.gprior =  bas.lm(Y~ ., data=Hald, alpha=13, prior="g-prior")
    hald.pred = predict(hald.gprior, estimator="BPM", predict=FALSE, se.fit=TRUE)
    confint(hald.pred, parm="mean")
    confint(hald.pred)  #default
    hald.pred = predict(hald.gprior, estimator="BMA", predict=FALSE, se.fit=TRUE)
    confint(hald.pred)

[Package BAS version 1.6.2 Index]