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

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