I would like to ask how exactly the prediction intervals are calculated by function predict.arima in R. I suppose that the method is same as for the function forecast (which I am actually using). Unfortunately I can not find it anywhere. I am particularly interested in how it works for Arima models, SARIMA models and ARIMA models which include external regressors (argument xreg is not null). Best wishes Monika Novackova [[alternative HTML version deleted]]