I want to obtain confidence interval for a new data as well as
estimate of SE for the new data
On Sat, Aug 31, 2024 at 11:58?PM David Winsemius <dwinsemius at
comcast.net> wrote:>
>
> Sent from my iPhone
>
> > On Aug 31, 2024, at 10:55?AM, Christofer Bogaso <bogaso.christofer
at gmail.com> wrote:
> >
> > ?Hi,
> >
> > I have run following code to obtain one step ahead confidence interval
> > from am arima model
> >
> > library(forecast)
> >
> > set.seed(100)
> >
> > forecast(Arima(rnorm(100), order = c(1,0,1), xreg = rt(100, 1)), h
> > 1, xreg = 10)
> >
> > However this appear to provide the Prediction interval, however I
> > wanted to get the confidence interval for the new value.
> >
> > Is there any way to get the confidence interval for the new value?
>
> I?m not sure it makes sense to output a confidence interval when you are
projecting a time series. If you wanted a confidence interval on the past data
then you can just use standard descriptive methods.
>
> ?
> David.
> >
> > I also wanted to get the estimate of SE for the new value which is
> > used to obtain the confidence interval of the new value. Is there any
> > method available to obtain that?
> >
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