# Why doesn't the exponential smoothing forecast package in R provide confidence intervals for the fitted values?

The upper and lower prediction intervals for the forecast periods are provided by the forecast() function. However, neither prediction or confidence intervals seem to be available for the fitted values within the range of the actual data. Why is this?

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The fitted values are one-step forecasts, so prediction intervals can be obtained by adding/subtracting a suitable multiple of the standard deviation of the residuals. E.g., assuming normal errors, an approximate 95% prediction interval is given by $\hat{y}_t\pm 1.96\hat{\sigma}$ where $\hat\sigma^2$ is the variance of the residuals.
You ask why the forecast() function does not provide these. Simply, because they are hardly ever useful.