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Prediction errors from forecast()?
2 messages · Laura Pyle
Sorry, I am resending in plain text. Hello, I am using forecast() in the forecast package to predict future values of an ARIMA model fit to a time series. I have read most of the documentation for the forecast package, but I can't figure out how to obtain the forecast variance for the predicted values. I tried using the argument "se.fit=TRUE," hoping this would work since forecast() calls predict(). Is there an easy way to do this? Sample code is below. ar <- Arima(as.matrix(Y), order= c(1,0,0),include.drift=TRUE)) f <- forecast(ar,h=9,se.fit=TRUE) summary(f) Thanks, Laura