[R] Prediction from Arima model

[Christofer Bogaso]

Yes, very helpful.

Also, my second question was how can I extract the prediction standard error?

On Sun, Sep 1, 2024 at 1:00 AM Mark Leeds <markleeds2 using gmail.com> wrote:
>
> 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 using 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 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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>> > > PLEASE do read the posting guide https://www.R-project.org/posting-guide.html
>> > > and provide commented, minimal, self-contained, reproducible code.
>> >
>>
>> ______________________________________________
>> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
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>> and provide commented, minimal, self-contained, reproducible code.