Às 18:54 de 31/08/2024, Christofer Bogaso escreveu:
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 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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Hello,
To get the se use ?predict.Arima instead.
library(forecast)
set.seed(100)
model <- Arima(rnorm(100), order = c(1,0,1), xreg = rt(100, 1))
# in predict.Arima, se.fit defaults to TRUE
pred <- predict(model, n.ahead = 1, newxreg = 10)
pred$se
c(pred$se)
# with more points ahead
predict(model, n.ahead = 2, newxreg = c(10, 12))
Hope this helps,
Rui Barradas
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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.
