Which interval is wider: (a) the 95% confidence interval for the conditional mean of the response variable at a particular set of values

Marvin Mccormick

Marvin Mccormick

Answered question

2021-09-07

Which interval is wider: (a) the 95% confidence interval for the conditional mean of the response variable at a particular set of values of the predictor variables or (b) the 95% prediction interval for the response variable at the same set of values of the predictor variables?

Answer & Explanation

broliY

broliY

Skilled2021-09-08Added 97 answers

Step 1
Confidence interval:
The (1α)% confidence interval for the conditional mean at given set of values of the predictor variables is given as,
y^p±tα2sy^p where y^p be the point estimate for the conditional mean of the response variable at given set of values of the predictor variables, tα2 be the value the test statistic value at α2 -th level of significance and sy^p=se with sample size n.
Step 2
Prediction interval:
The (1α)% prediction interval for the conditional mean at given set of values of the predictor variables is given as,
y^p±tα2sypy^p where y^p be the predicted value of the response variable at given set of values of the predictor variables, tα2 be the value the test statistic value at α2-th level of significance and sypy^p=se1+dp2, where dp=ypyp^, i with sample size n.
Taking difference of the positive end points of the confidence interval from that of prediction interval,
(y^p+tα2sypy^p)(y^p+tα2sypy^p)=tα2(sypy^psypy^p)
=tα2(se1+dp2se)
=tα2se(1+dp21)
Step 3
This is because,
1+dp2>11+dp2>1
This means that the positive end point of the prediction interval is higher than the confidence interval.
Again, taking difference of the negative end points of the confidence interval from that of prediction interval,
(y^ptα2sypy^p)(y^ptα2syp

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