# Prediction interval for generalized linear model

I am currently working on a prediction problem using generalized linear model, My goal is to get the prediction distribution of the response variable.

I read a thread (https://stat.ethz.ch/pipermail/r-help/2003-May/033165.html) saying the prediction uncertainty of a generalized linear model can be obtained by simulation, but I couldn't find any description of the procedure. Can anyone please help me on this?

chiro
Hey Rizer.

What is your GLM model specifically? What distributions and link functions are you using?

Hi Chiro

My current model uses Gamma distribution and a reciprocal link function. I think the same simulation procedure can be applied to any distribution-link function pairs? Or are there standard analytical forms for the commonly used pairs? Thanks

chiro
Are you trying to estimate a set of parameters from your data or are you just trying to run a simulation of specific distributions (and possibly their parameters) to get some parameters (like mean, variance, etc)?

I am trying to estimate the response variables from the newly observed predictors. I have built the GLM using R and Matlab, but I have no idea how to get the prediction interval/distribution for the response variable.

chiro