Publication date: 05/24/2021

Prediction Intervals

The prediction intervals are defined as follows:

For m future observations:

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For the mean of m future observations:

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For the standard deviation of m future observations:

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where m = number of future observations, and n = number of points in current analysis sample.

The one-sided intervals are formed by using 1-α in the quantile functions.

See Meeker et al. (2017, ch. 4).

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