How To Get The Confidence Interval Of Each Prediction On An Arima Model

I'm trying to get a 'fuzzy' prediction of a timeseries, using an SARIMA model My training set is prices_train, and the model is built as follows: model_order = (0, 1, 1) model_seas

Solution 1:

Your fit model should have a get_prediction() function that returns a prediction. Then you can call prediction.conf_int(alpha=a).

Solution 2:

Well I've found a way, I'll post it here in case anyone reading this in 2035 needs it:

Being h the number of predictions:

conf_ins = model_fit.get_forecast(h).summary_frame()

It returns a dataframe with the confidence interval of h predictions, indicating for each one:

• Average
• Mean squared error
• Minimum
• Maximum