statsmodels.tsa.forecasting.theta.ThetaModelResults.prediction_intervals¶
- ThetaModelResults.prediction_intervals(steps=1, theta=2, alpha=0.05)[source]¶
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Notes
The variance of the h-step forecast is assumed to follow from the integrated Moving Average structure of the Theta model, and so is \(\sigma^2(1 + (h-1)(1 + (\alpha-1)^2)\). The prediction interval assumes that innovations are normally distributed.
Last update:
Jun 10, 2024