[R] Prediction from Arima model

[Christofer Bogaso]

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 using comcast.net> wrote:
>
>
> 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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>