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 <marklee...@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.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. ______________________________________________ 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.
