[R] Prediction from Arima model

[David Winsemius]

Sent from my iPhone

> On Aug 31, 2024, at 10:55 AM, Christofer Bogaso <bogaso.christofer using 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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