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.christo...@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 <dwinsem...@comcast.net> > wrote: > > > > > > Sent from my iPhone > > > > > On Aug 31, 2024, at 10:55 AM, Christofer Bogaso < > bogaso.christo...@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@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@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]] ______________________________________________ R-help@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.
