confidence and prediction intervals with StatsModels

Question

I do this linear regression with StatsModels:

import numpy as np
import statsmodels.api as sm
from statsmodels.sandbox.regression.p         


        

Answer 1

You can get the prediction intervals by using LRPI() class from the Ipython notebook in my repo (https://github.com/shahejokarian/regression-prediction-interval).

You need to set the t value to get the desired confidence interval for the prediction values, otherwise the default is 95% conf. interval.

The LRPI class uses sklearn.linear_model's LinearRegression , numpy and pandas libraries.

There is an example shown in the notebook too.