Chris: As David mentioned, if you have "new" data, then the interval
has to
be a prediction
interval because the difference between a CI and a PI is that the PI is
constructed for data
that hasn't been seen yet. The CI is constructed for data that's already
there. I hope this helps.
On Sat, Aug 31, 2024 at 2:38?PM Christofer Bogaso <
bogaso.christofer at gmail.com> wrote:
> 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?
> > >
> > > ______________________________________________
> > > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more,
see
> > > https://stat.ethz.ch/mailman/listinfo/r-help
> > > PLEASE do read the posting guide
> https://www.R-project.org/posting-guide.html
> > > and provide commented, minimal, self-contained, reproducible
code.
> >
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> https://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
[[alternative HTML version deleted]]