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Topic: Basic GLM Question
Replies: 6   Last Post: Apr 9, 2013 2:53 PM

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Ray Koopman

Posts: 3,383
Registered: 12/7/04
Re: Basic GLM Question
Posted: Apr 9, 2013 2:53 PM
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On Mar 31, 4:33 am, SChapman <sumant...@googlemail.com> wrote:
> Sorry, my question wasn't clear.
>
> Why is that in Generalised Linear Model we don't predict individual response variable values Yi? We only predict the conditional expectation E[Yi].
>
> In a general linear model (simple linear regression) however all text books give formula for predicting Yi as well as E[Yi].


If b is the vector of estimated model coefficients and x is a vector
of predictor scores for an individual then g(x'b) is the predicted
response for that individual, where g() is the inverse link function.

If C is the estimated covariance matrix of the coefficients and z
is the 1-alpha/2 quantile of the standard normal distribution then
g(x'b +/- z*sqrt(x'Cx)) is a 1-alpha confidence interval for the
response.

Look for a package that does that for you.



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