Practical Predictive Analytics

Confidence intervals and Wald statistics

A Wald test is used to evaluate the statistical significance of each coefficient in the model and is calculated by taking the ratio of the square of the regression coefficient to the square of the standard error of the coefficient. The idea is to test the hypothesis that the coefficient of an independent variable in the model is not significantly different from zero.

The output shows the 95% confidence interval (with the lower 2.5% limit, and the upper 97.5% limit). Two intervals are given, one for the actual model coefficient, and the other for the exponentiated coefficient. We can again see that 0 is contained within the range for Duration, so we can consider removing the variable from the model: ...